@techreport{Follmer1997Optional,
abstract = {Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•S is a decreasing process. In this paper we give a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption.},
address = {Berlin},
author = {Hans F\"{o}llmer and Jurij M. Kabanov},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; G12; 330; equivalent martingale measure; optional decomposition; semimartingale; Hellinger process; Lagrange multiplier},
language = {eng},
note = {urn:nbn:de:kobv:11-10064346},
number = {1997,54},
publisher = {Humboldt-Universit\"{a}t},
title = {Optional decomposition and lagrange multipliers},
type = {Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes},
url = {http://hdl.handle.net/10419/66314},
year = {1997}
}