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Some remarks on the optional decomposition theorem
6 references·6 citing·34 second hop
Some remarks on the optional decomposition theorem (1998)Some remarks on the optional decompositio…Optional decomposition and Lagrange multipliers (1997)Optional decomposition and La…Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996)Optional decomposition of sup…Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)Dynamic Programming and Prici…Couverture des actifs contingents et prix maximum (1994)Couverture des actifs conting…A Martingale Representation Result and an Application to Incomplete Financial Markets (1992)A Martingale Representation R…Calcul Stochastique et Problèmes de Martingales (1979)Calcul Stochastique et Problè…Optimal investment with intermediate consumption under no unbounded profit with bounded risk (2017)Optimal investment with inter…STRONG BUBBLES AND STRICT LOCAL MARTINGALES (2016)STRONG BUBBLES AND STRICT LOC…No arbitrage of the first kind and local martingale numéraires (2016)No arbitrage of the first kin…WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS (2015)WEAK AND STRONG NO-ARBITRAGE …SHADOW PRICES FOR CONTINUOUS PROCESSES (2015)SHADOW PRICES FOR CONTINUOUS …How non-arbitrage, viability and numéraire portfolio are related (2015)How non-arbitrage, viability …A general version of the fundamental theorem of asset pricing (1994)Robust hedging of the lookback option (1998)Efficient hedging: Cost versus shortfall risk (2000)Option Pricing in Stochastic Volatility Models of the Ornstein-Uhlenbeck type (2003)Stochastic Integration and Differential Equations (2005)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Martingales and arbitrage in multiperiod securities markets (1979)Adapted solution of a backward stochastic differential equation (1990)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Function Spaces and Capacity Related to a Sublinear Expectation: Application to G-Brownian Motion Paths (2010)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Processes of normal inverse Gaussian type (1997)Asymptotic arbitrage in large financial markets (1998)Optimal consumption choice with intertemporal substitution (2001)Risk measure pricing and hedging in incomplete markets (2005)Martingales and stochastic integrals in the theory of continuous trading (1981)Option pricing in the presence of natural boundaries and a quadratic diffusion term (1997)Dynamic L p -Hedging in Discrete Time under Cone Constraints (2000)On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets (2006)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Existence of an Equilibrium for a Competitive Economy (1954)Existence of an equilibrium for a competitive economy (2008)On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration (2015)No-arbitrage up to random horizon for quasi-left-continuous models (2017)Continuous Martingales and Brownian Motion (1999)Limit Theorems for Stochastic Processes (2003)Polynomial processes in stochastic portfolio theory (2018)Hedging American contingent claims with constrained portfolios (1998)Optimal portfolios for exponential Lévy processes (2000)Optimal portfolios for logarithmic utility (2000)The fundamental theorem of asset pricing for unbounded stochastic processes (1998)Time-changed Lévy processes and option pricing (2003)
this work references cited by second hop

References

  • 1979Calcul Stochastique et Problèmes de Martingales1,161 cited
  • 1995Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market649 cited
  • 1996Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets324 cited
  • 1994Couverture des actifs contingents et prix maximum152 cited
  • 1997Optional decomposition and Lagrange multipliers149 cited
  • 1992A Martingale Representation Result and an Application to Incomplete Financial Markets82 cited

Cited by

  • 2015WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS42 cited
  • 2015How non-arbitrage, viability and numéraire portfolio are related39 cited
  • 2016No arbitrage of the first kind and local martingale numéraires36 cited
  • 2015SHADOW PRICES FOR CONTINUOUS PROCESSES31 cited
  • 2017Optimal investment with intermediate consumption under no unbounded profit with bounded risk31 cited
  • 2016STRONG BUBBLES AND STRICT LOCAL MARTINGALES27 cited

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