Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66314
Authors: 
Föllmer, Hans
Kabanov, Jurij M.
Year of Publication: 
1997
Series/Report no.: 
Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,54
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.
Subjects: 
equivalent martingale measure
optional decomposition
semimartingale
Hellinger process
Lagrange multiplier
JEL: 
G10
G12
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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