On \(L^2\)-projections on a space of stochastic integrals

DOI10.1214/AOP/1023481112zbMath0895.60051OpenAlexW2007238879MaRDI QIDQ1381569

Thorsten Rheinländer, Martin Schweizer

Publication date: 6 September 1998

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1023481112

zbMATH Keywords

semimartingalesmartingale measureweighted norm inequalitiesKunita-Watanabe decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

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Cites Work

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• Mean-variance hedging in continuous time
• Weighted norm inequalities and hedging in incomplete markets
• Approximating random variables by stochastic integrals
• Mean-variance hedging for continuous processes: New proofs and examples
• The variance-optimal martingale measure for continuous processes
• Approximation pricing and the variance-optimal martingale measure
• [https://portal.mardi4nfdi.de/wiki/Publication:4194221 Espaces de semi martingales et changement de probabilit�]

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