Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66314
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dc.contributor.authorFöllmer, Hansen_US
dc.contributor.authorKabanov, Jurij M.en_US
dc.date.accessioned2012-11-08en_US
dc.date.accessioned2012-11-19T15:24:02Z-
dc.date.available2012-11-19T15:24:02Z-
dc.date.issued1997en_US
dc.identifier.piurn:nbn:de:kobv:11-10064346en_US
dc.identifier.urihttp://hdl.handle.net/10419/66314-
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.language.isoengen_US
dc.publisher|aHumboldt-Universität |cBerlinen_US
dc.relation.ispartofseries|aDiscussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |x1997,54en_US
dc.subject.jelG10en_US
dc.subject.jelG12en_US
dc.subject.ddc330en_US
dc.subject.keywordequivalent martingale measureen_US
dc.subject.keywordoptional decompositionen_US
dc.subject.keywordsemimartingaleen_US
dc.subject.keywordHellinger processen_US
dc.subject.keywordLagrange multiplieren_US
dc.titleOptional decomposition and lagrange multipliersen_US
dc.typeWorking Paperen_US
dc.identifier.ppn729464105en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:sfb373:199754-

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