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ChapterSome remarks on the optional decomposition theorem

Christophe Stricker1998

Chapter1998

Some remarks on the optional decomposition theorem

Christophe Stricker · Jia‐An Yan

46 citations·0/0 files stored·Lecture notes in mathematics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1979Calcul Stochastique et Problèmes de Martingales 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets 1994Couverture des actifs contingents et prix maximum 1997Optional decomposition and Lagrange multipliers 1992A Martingale Representation Result and an Application to Incomplete Financial Markets

Cited by

2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS 2015How non-arbitrage, viability and numéraire portfolio are related 2016No arbitrage of the first kind and local martingale numéraires 2015SHADOW PRICES FOR CONTINUOUS PROCESSES 2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk 2016STRONG BUBBLES AND STRICT LOCAL MARTINGALES

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1998Asymptotic arbitrage in large financial marketsarticle · 4 shared references 1999A Compactness Principle for Bounded Sequences of Martingales with Applicationschapter · 4 shared references 2006Robust projections in the class of martingale measuresarticle · 4 shared references 2001Rational Hedging and Valuation with Utility-Based Preferencesthesis · 4 shared references 2001Bounds on option prices for semimartingale market modelsarticle · 4 shared references 2003Optimal consumption from investment and random endowment in incomplete semimartingale marketsarticle · 3 shared references

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Year1998

Typechapter

Published1998-01-01

VenueLecture notes in mathematics

ISSN-L0075-8434

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/bfb0101750

openalex_workW87335926

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