Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/66314 
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dc.contributor.authorFöllmer, Hansen
dc.contributor.authorKabanov, Jurij M.en
dc.date.accessioned2012-11-08-
dc.date.accessioned2012-11-19T15:24:02Z-
dc.date.available2012-11-19T15:24:02Z-
dc.date.issued1997-
dc.identifier.piurn:nbn:de:kobv:11-10064346en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x1997,54en
dc.subject.jelG10en
dc.subject.jelG12en
dc.subject.ddc330en
dc.subject.keywordequivalent martingale measureen
dc.subject.keywordoptional decompositionen
dc.subject.keywordsemimartingaleen
dc.subject.keywordHellinger processen
dc.subject.keywordLagrange multiplieren
dc.titleOptional decomposition and lagrange multipliers-
dc.typeWorking Paperen
dc.identifier.ppn729464105en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:199754en

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