On a generalized optional decomposition theorem

DOI10.1080/17442508.2014.895357zbMATH Open1337.60082OpenAlexW2083543397MaRDI QIDQ2811115FDOQ2811115

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

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zbMATH Keywords

optional decompositionsublinear expectationrobust hedgingpredictable convexity

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (5)

• 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
• A characterization of the set of local martingale measures
• Superhedging and dynamic risk measures under volatility uncertainty
• A simple proof of Kramkov's result on uniform supermartingale decompositions

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