The Föllmer-Schweizer decomposition: comparison and description

DOI10.1016/j.spa.2010.02.004zbMath1196.60077OpenAlexW2093205702MaRDI 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 marketsFöllmer-Schweizer decompositionGaltchouk-Kunita-Watanabe decompositionminimal martingale measurelocal risk-minimizationpredictable characteristics

Mathematics Subject Classification ID

Martingales and classical analysis (60G46)

Related Items (17)

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