On supermartingale problems

DOI10.1007/978-981-10-4145-7_3zbMATH Open1407.91291OpenAlexW2627066935MaRDI QIDQ3133719FDOQ3133719

Authors: Shigeo Kusuoka 

Publication date: 5 February 2018

Published in: Advances in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-981-10-4145-7_3

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zbMATH Keywords

stochastic differential equationmartingale problemsupermartingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80)

Cited In (8)

• Title not available (Why is that?)
• A supermartingale characterization of sets of stochastic integrals and applications
• Some properties of path measures
• A representation for supermartingales
• Martingale Inequalities, Optimal Martingale Transport, and Robust Superhedging
• A Construction Scheme of the Minimal Dominating Supermartingale arising in the Discrete Parameter Optimal Stopping Problems
• On representations of the set of supermartingale measures and applications in discrete time
• Some related problems of SVO supermartingales.

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