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A Filtered Version of the Bipolar Theorem of Brannath and Schachermayer · Study

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ArticleA Filtered Version of the Bipolar Theorem of Brannath and Schachermayer

Unknown author2002

OA

Articlegreen2002

A Filtered Version of the Bipolar Theorem of Brannath and Schachermayer

Unknown author

38 citations·0/0 files stored·Journal of Theoretical Probability

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1991Continuous Martingales and Brownian Motion 1998Methods of Mathematical Finance 1994A general version of the fundamental theorem of asset pricing 1998The fundamental theorem of asset pricing for unbounded stochastic processes 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets 1997Optional decompositions under constraints 1997Optional decomposition and Lagrange multipliers

Cited by

2020Convergence to the mean field game limit: A case study 2015Utility maximization with addictive consumption habit formation in incomplete semimartingale markets 2010The opportunity process for optimal consumption and investment with power utility 2013On the closure in the Emery topology of semimartingale wealth-process sets 2015The existence of dominating local martingale measures

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Year2002

Typearticle

Published2002-01-01

VenueJournal of Theoretical Probability

ISSN-L0894-9840

Languageen

Citations38

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1013885121598

openalex_workW1542264352

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