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https://hdl.handle.net/10419/66314
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DC Field | Value | Language |
---|---|---|
dc.contributor.author | Föllmer, Hans | en |
dc.contributor.author | Kabanov, Jurij M. | en |
dc.date.accessioned | 2012-11-08 | - |
dc.date.accessioned | 2012-11-19T15:24:02Z | - |
dc.date.available | 2012-11-19T15:24:02Z | - |
dc.date.issued | 1997 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10064346 | en |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x1997,54 | en |
dc.subject.jel | G10 | en |
dc.subject.jel | G12 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | equivalent martingale measure | en |
dc.subject.keyword | optional decomposition | en |
dc.subject.keyword | semimartingale | en |
dc.subject.keyword | Hellinger process | en |
dc.subject.keyword | Lagrange multiplier | en |
dc.title | Optional decomposition and lagrange multipliers | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 729464105 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:199754 | en |
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