scientific article; zbMATH DE number 1144393

MaRDI QIDQ4384414zbMATH OpenFDO

Authors Dmitry Kramkov

Publication date 2 August 2001

zbMATH Keywords

Fatou's convergencemartingale measureoptional decomposition of supermartingalessemimartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Optional decomposition and Lagrange multipliers
• scientific article; zbMATH DE number 1210395
• 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
• Regularity and decomposition of two-parameter supermartingales
• On the optional and orthogonal decompositions of supermartingales and applications
• The Doob-Meyer Decomposition Revisited

Cited in

(13)

• Utility maximization with a stochastic clock and an unbounded random endowment
• On the uniqueness of the optional decomposition of semimartingales
• On representations of the set of supermartingale measures and applications in discrete time
• On a generalized optional decomposition theorem
• A simple proof of Kramkov's result on uniform supermartingale decompositions
• scientific article; zbMATH DE number 1210396 (Why is no real title available?)
• scientific article; zbMATH DE number 1342042 (Why is no real title available?)
• scientific article; zbMATH DE number 949734 (Why is no real title available?)
• MULTIPLE RESCINDABLE OPTIONS AND THEIR PRICING
• A Doob-Meyer decomposition under model ambiguity: the case of compactness
• Supermartingales as Radon-Nikodym densities and related measure extensions
• On the optional and orthogonal decompositions of supermartingales and applications
• Finitely additive supermartingales

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4384414)