Optional decomposition and Lagrange multipliers

DOI10.1007/s007800050033zbMath0894.90016OpenAlexW1993529344MaRDI QIDQ1381482

Youri M.Kabanov, Hans Föllmer

Publication date: 17 March 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4483

zbMATH Keywords

decompositionLagrange multipliersemimartingaleequivalent martingale measuresHellinger processlocal supermartingale

Mathematics Subject Classification ID

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