Closedness of some spaces of stochastic integrals

Peter Grandits; Leszek Krawczyk

Séminaire de probabilités de Strasbourg (1998)

  • Volume: 32, page 73-85

How to cite


Grandits, Peter, and Krawczyk, Leszek. "Closedness of some spaces of stochastic integrals." Séminaire de probabilités de Strasbourg 32 (1998): 73-85. <>.

author = {Grandits, Peter, Krawczyk, Leszek},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {closedness of space of stochastic integrals; minimal martingale measure},
language = {eng},
pages = {73-85},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Closedness of some spaces of stochastic integrals},
url = {},
volume = {32},
year = {1998},

AU - Grandits, Peter
AU - Krawczyk, Leszek
TI - Closedness of some spaces of stochastic integrals
JO - Séminaire de probabilités de Strasbourg
PY - 1998
PB - Springer - Lecture Notes in Mathematics
VL - 32
SP - 73
EP - 85
LA - eng
KW - closedness of space of stochastic integrals; minimal martingale measure
UR -
ER -


  1. [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
  2. [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
  3. [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
  4. [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
  5. [DS2] Delbaen F., Schachermayer W., 'The Variance Optimal Martingale Measure for Continuous Processes', Bernoulli2(1),81-105(1996). Zbl0849.60042MR1394053
  6. [K] Kazamaki N., 'Exponential Continuous martingales and BMO', Lecture Notes in Mathematics1579, Springer-Verlag1994. Zbl0806.60033MR1299529
  7. [Lb] Luenberger D.G., 'Optimization by Vector Space Methods', Wiley and Sons1969. Zbl0176.12701MR238472
  8. [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
  9. [RY] Revuz D., Yor M., 'Continuous Martingales and Brownian Motion', Springer-VerlagBerlin1991. Zbl0731.60002MR1083357
  10. [Y] Yor M., 'Inegalités de martingales continues arrêtées à un temps quelconque', Lecture Notes In Mathematics1118, Springer-Verlag1985. Zbl0563.60045

NotesEmbed ?


You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.


Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.