Martingale laws, densities and decomposition of Föllmer-Schweizer

zbMath0772.60033MaRDI QIDQ1201367

Christophe Stricker, Jean-Pascal Ansel

Publication date: 17 January 1993

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: http://www.numdam.org/item?id=AIHPB_1992__28_3_375_0

zbMATH Keywords

arbitragelocal martingalestochastic exponentialminimal martingale lawprevisible representation property

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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