On the representation of semimartingales

DOI10.1214/AOP/1176996887MaRDI QIDQ2561935zbMATH OpenOpenAlexFDO

Authors Hans Föllmer

Publication date 1973

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

Full work available at URL https://doi.org/10.1214/aop/1176996887

Mathematics Subject Classification ID

Stochastic processes (60G99) Probabilistic potential theory (60J45)

Cited in

(16)

• Planar semi-martingales
• The structure of Fölmer's measure and some properties of potentials
• Relative densities of semimartingales
• Dual representation of superhedging costs in illiquid markets
• Robust optimal control for a consumption-investment problem
• Superhedging in illiquid markets
• Characterization and duality of projective and direct limits of measures and applications
• Polar Sets and Palm Measures in the Theory of Flows
• On two-parameter semimartingales
• On the hedging of options on exploding exchange rates
• Supermartingales as Radon-Nikodym densities and related measure extensions
• Optimal arbitrage under model uncertainty
• Quasimartingales on partially ordered sets
• Finitely additive supermartingales
• Supermartingale decomposition with a general index set
• On optimal arbitrage

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