2006-06-07Buch DOI: 10.18452/3831
Optional Decomposition and Lagrange Multipliers
Kabanov, Yu. M.
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.
Dateien zu dieser Publikation
Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 54, SFB 373 Papers, ISSN:1436-1086