Closedness of some spaces of stochastic integrals

Peter Grandits; Leszek Krawczyk

Séminaire de probabilités de Strasbourg (1998)

  • Volume: 32, page 73-85

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Grandits, Peter, and Krawczyk, Leszek. "Closedness of some spaces of stochastic integrals." Séminaire de probabilités de Strasbourg 32 (1998): 73-85. <http://eudml.org/doc/114004>.

@article{Grandits1998,
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 = {http://eudml.org/doc/114004},
volume = {32},
year = {1998},
}

TY - JOUR
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 - http://eudml.org/doc/114004
ER -

References

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  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

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