Closedness of some spaces of stochastic integrals
Peter Grandits; Leszek Krawczyk
Séminaire de probabilités de Strasbourg (1998)
- Volume: 32, page 73-85
Access Full Article
topHow to cite
topReferences
top- [AS] Ansel J.P. and Stricker C., 'Lois de martingale, densités et décomposition de Föllmer-Schweizer', Annales de l'Institut Henri Poincaré28, 375-392(1992). Zbl0772.60033MR1183992
- [DM] Doleans-Dade C. and Meyer P.A., 'Inégalités de normes avec poids', Séminaire de Probabilités XIII, Lecture Notes In Mathematics721, 313-331 (1977). Zbl0406.60029MR544804
- [DMSSS] Delbaen F., Monat P., Schachermayer W., Schweizer M., Stricker C., 'Weighted Norm Inequalities and Closedness of a Space of Stochastic Integrals', to appear in Finance and Stochastics. Zbl0810.60047MR1305680
- [DS1] Delbaen F., Schachermayer W., 'The Existence of Absolutely Continuous Local Martingale Measures', Annals of Applied Probability Vol.5,No.4,926-945(1995). Zbl0847.90013MR1384360
- [DS2] Delbaen F., Schachermayer W., 'The Variance Optimal Martingale Measure for Continuous Processes', Bernoulli2(1),81-105(1996). Zbl0849.60042MR1394053
- [K] Kazamaki N., 'Exponential Continuous martingales and BMO', Lecture Notes in Mathematics1579, Springer-Verlag1994. Zbl0806.60033MR1299529
- [Lb] Luenberger D.G., 'Optimization by Vector Space Methods', Wiley and Sons1969. Zbl0176.12701MR238472
- [P] Pratelli M., 'Sur certains espaces de martingales localement de carré intégrable', Séminaire de Probabilités X, Lecture Notes In Mathematics511, 401-413 (1975). Zbl0339.60043MR438467
- [RY] Revuz D., Yor M., 'Continuous Martingales and Brownian Motion', Springer-VerlagBerlin1991. Zbl0731.60002MR1083357
- [Y] Yor M., 'Inegalités de martingales continues arrêtées à un temps quelconque', Lecture Notes In Mathematics1118, Springer-Verlag1985. Zbl0563.60045