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dc.contributor.authorFöllmer, Hansen_US
dc.contributor.authorKabanov, Jurij M.en_US
dc.description.abstractLet 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.publisherHumboldt-Universität Berlinen_US
dc.relation.ispartofseriesDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,54en_US
dc.subject.keywordequivalent martingale measureen_US
dc.subject.keywordoptional decompositionen_US
dc.subject.keywordHellinger processen_US
dc.subject.keywordLagrange multiplieren_US
dc.titleOptional decomposition and lagrange multipliersen_US
dc.typeWorking Paperen_US
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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