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Title:Optional decomposition and lagrange multipliers PDF Logo
Authors:Föllmer, Hans
Kabanov, Jurij M.
Issue Date:1997
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,54
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.
Subjects:equivalent martingale measure
optional decomposition
Hellinger process
Lagrange multiplier
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10064346
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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