Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66294
Authors: 
Föllmer, Hans
Kramkov, D. O.
Year of Publication: 
1997
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,31
Abstract: 
Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional decompositions, both in additive and in multiplicative form, and under constraints corresponding to di_erent classes of equivalent measures. As an application, we extend results of Karatzas and Cvitanic [3] on hedging problems with constrained portfolios.
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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