On a generalized optional decomposition theorem

DOI10.1080/17442508.2014.895357MaRDI QIDQ2811115zbMATHOpenAlexFDO

Authors Abdelkarem Berkaoui

Publication date 10 June 2016

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2014.895357

zbMATH Keywords

optional decompositionsublinear expectationrobust hedgingpredictable convexity

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80)

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Cites work

• Conditional and dynamic convex risk measures
• In discrete time a local martingale is a martingale under an equivalent probability measure
• Optimal Stopping With Multiple Priors
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• The structure of \(m\)-stable sets and in particular of the set of risk neutral measures

Cited in

(6)

• A characterization of the set of local martingale measures
• A simple proof of Kramkov's result on uniform supermartingale decompositions
• Superhedging and dynamic risk measures under volatility uncertainty
• A Doob-Meyer decomposition under model ambiguity: the case of compactness
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• On representations of the set of supermartingale measures and applications in continuous time

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