The Föllmer-Schweizer decomposition: comparison and description

DOI10.1016/j.spa.2010.02.004zbMath1196.60077MaRDI QIDQ981002

Michèle Vanmaele, Nele Vandaele, Tahir Choulli

Publication date: 8 July 2010

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2010.02.004

zbMATH Keywords

incomplete markets; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; minimal martingale measure; local risk-minimization; predictable characteristics

Mathematics Subject Classification ID

60G46: Martingales and classical analysis

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