Attainable claims with p'th moments
Annales de l'I.H.P. Probabilités et statistiques (1996)
- Volume: 32, Issue: 6, page 743-763
- ISSN: 0246-0203
Access Full Article
topHow to cite
topDelbaen, F., and Schachermayer, W.. "Attainable claims with p'th moments." Annales de l'I.H.P. Probabilités et statistiques 32.6 (1996): 743-763. <http://eudml.org/doc/77555>.
@article{Delbaen1996,
author = {Delbaen, F., Schachermayer, W.},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {semi-martingale},
language = {eng},
number = {6},
pages = {743-763},
publisher = {Gauthier-Villars},
title = {Attainable claims with p'th moments},
url = {http://eudml.org/doc/77555},
volume = {32},
year = {1996},
}
TY - JOUR
AU - Delbaen, F.
AU - Schachermayer, W.
TI - Attainable claims with p'th moments
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1996
PB - Gauthier-Villars
VL - 32
IS - 6
SP - 743
EP - 763
LA - eng
KW - semi-martingale
UR - http://eudml.org/doc/77555
ER -
References
top- [AS 94] J.P. Ansel and C. Stricker, Couverture des actifs contingents et prix maximum, Ann. Inst. Henri Poincaré, Vol. 30, 1994, pp. 303-315. Zbl0796.60056MR1277002
- [BS 73] F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, 1973, pp. 637-659. Zbl1092.91524
- [D 77] R. Dudley, Wiener functionals as Itô integrals, Annales of Probability, Vol. 5, 1977, pp. 140-141. Zbl0359.60071MR426151
- [DMSSS 94] F. Delbaen, P. Monat, W. Schachermayer, M. Schweizer and C. Stricker, Inégalités de Normes avec Poids et Fermeture d'un Espace d'Intégrales Stochastiques, C. R. Acad. Sci. Paris, T. 319, série I, 1994, pp. 1079-1081. Zbl0810.60047MR1305680
- [DS 94] F. Delbaen and W. Schachermayer, A General Version of the Fundamental Theorem of Asset Pricing, to appear in Math. Annalen, 1994. Zbl0865.90014MR1304434
- [DS 94b] F. Delbaen and W. Schachermayer, A Simple Counter-Example to Several Problems in the Theory of Asset Pricing, which arises in many Incomplete Markets, to appear in Math. Finance. Zbl0910.60038
- [HK 79] J.M. Harrison and D.M. Kreps, Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, Vol. 20, 1979, pp. 381-408. Zbl0431.90019MR540823
- [HP 81] J.M. Harrison and S.R. Pliska, Martingales and Stochastic Integrals in the Theory of Continous Trading, Stochastic Processes and their Applications, Vol. 11, 1981, pp. 215-260. Zbl0482.60097MR622165
- [J 79] J. Jacod, Calcul Stochastique et Problèmes de Martingales, Lecture Notes in Mathematics, Vol. 714, 1979. Zbl0414.60053MR542115
- [Ja 92] S.D. Jacka, A Martingale Representation Result and an Application to Incomplete Financial Markets, Math. Finance, Vol. 2, 1992, pp. 239-250. Zbl0900.90044
- [K 81] D.M. Kreps, Arbitrage and Equilibrium in Economics with infinitely many Commodities, Journal of Mathematical Economics, Vol. 8, 1981, pp. 15-35. Zbl0454.90010MR611252
- [KLSX 91] I. Karatzas, J.P. Lehoczky, S.E. Shreve and G.L. Xu, Martingale and Duality Methods for Utility Maximisation in an Incomplete Market, SIAM Journal of Control and Optimisation, Vol. 29, 1991, pp. 702-730. Zbl0733.93085MR1089152
- [KQ 92] N. El Karoui and M.C. Quenez, Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market, preprint. Zbl0831.90010MR1138563
- [KW 67] H. Kunita and S. Watanabe, On Square Integrable Martingales, Nagoya Mathematical Journal, Vol. 30, 1967, pp. 209-245. Zbl0167.46602MR217856
- [MS 94] P. Monat and C. Stricker, Décomposition de Föllmer-Schweizer et Fermeture de GT(Θ), C. R. Acad. Sci., Paris, série I, T. 318, 1994, pp. 573-576. Zbl0797.60040MR1270084
- [MS 94b] P. Monat and C. Stricker, Fermeture de GT(Θ) et de {c + GT(Θ)|c ∈ R}, preprint, Université de Franche-Comté, Besançon.
- [P 90] P. Protter, Stochastic Integration and Differential Equations, Applications of Mathematics, Springer, Vol. 21, 1990. Zbl0694.60047MR1037262
- [Sch 93] W. Schachermayer, A counterexample to Several Problems in the Theory of Asset Pricing, Mathematical Finance, Vol. 3, 1993, pp. 217-230. Zbl0884.90050
- [Schw 93] M. Schweizer, Approximating Random Variables by Stochastic Integrals, preprint, University of Göttingen, to appear in Annals of Probability. Zbl0814.60041MR1303653
- [St 90] C. Stricker, Arbitrage et Lois de Martingale, Ann. Inst. H. Poincaré, Vol. 26, 1990, pp. 451-460. Zbl0704.60045MR1066088
- [Y 78] M. Yor, Sous-espaces denses dans L1 ou H1 et représentation des martingales, Sém. de Probabilité XII, SpringerLNM, Vol. 649, pp. 265-309. Zbl0391.60046MR520008
NotesEmbed ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.