Show simple item record

2006-06-07Buch DOI: 10.18452/3831
Optional Decomposition and Lagrange Multipliers
dc.contributor.authorFöllmer, Hans
dc.contributor.authorKabanov, Yu. M.
dc.date.accessioned2017-06-15T22:16:55Z
dc.date.available2017-06-15T22:16:55Z
dc.date.created2006-06-07
dc.date.issued2006-06-07
dc.identifier.issn1436-1086
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4483
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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectequivalent martingale measureeng
dc.subjectoptional decompositioneng
dc.subjectsemimartingaleeng
dc.subjectHellinger processeng
dc.subjectLagrange multipliereng
dc.subject.ddc330 Wirtschaft
dc.titleOptional Decomposition and Lagrange Multipliers
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10064346
dc.identifier.doihttp://dx.doi.org/10.18452/3831
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 373: Quantification and Simulation of Economic Processes
local.edoc.pages13
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume1997
local.edoc.container-issue54
local.edoc.container-year1997
local.edoc.container-erstkatid2135319-0

Show simple item record