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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66314
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Föllmer, Hans | | en_US |
| dc.contributor.author | | Kabanov, Jurij M. | | en_US |
| dc.date.accessioned | | 2012-11-08 | | en_US |
| dc.date.accessioned | | 2012-11-19T15:24:02Z | | - |
| dc.date.available | | 2012-11-19T15:24:02Z | | - |
| dc.date.issued | | 1997 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10064346 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66314 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,54 | | en_US |
| dc.subject.jel | | G10 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | equivalent martingale measure | | en_US |
| dc.subject.keyword | | optional decomposition | | en_US |
| dc.subject.keyword | | semimartingale | | en_US |
| dc.subject.keyword | | Hellinger process | | en_US |
| dc.subject.keyword | | Lagrange multiplier | | en_US |
| dc.title | | Optional decomposition and lagrange multipliers | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 729464105 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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