On representations of the set of supermartingale measures and applications in continuous time

DOI10.1080/17442508.2018.1518983MaRDI QIDQ5086418zbMATH OpenOpenAlexWikidataFDO

Authors Abdelkarem Berkaoui

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442508.2018.1518983

zbMATH Keywords

martingale representationoptional decompositionsublinear expectationm-stabilitysupermartingale measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24)

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Cites work

• scientific article; zbMATH DE number 708768 (Why is no real title available?)
• A characterization of the set of local martingale measures
• On a generalized optional decomposition theorem
• On representations of the set of supermartingale measures and applications in discrete time
• Optional decompositions under constraints
• The structure of \(m\)-stable sets and in particular of the set of risk neutral measures

Cited in

(10)

• scientific article; zbMATH DE number 1144393 (Why is no real title available?)
• Equivalent supermartingale densities and measures in discrete time infinite horizon market models
• On the optional and orthogonal decompositions of supermartingales and applications
• Representations for continuous additive functionals of super-Brownian and super-stable processes
• A representation for supermartingales
• On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes
• On the optional and orthogonal decompositions of a class of semimartingales
• scientific article; zbMATH DE number 4121145 (Why is no real title available?)
• On representations of the set of supermartingale measures and applications in discrete time
• Some related problems of SVO supermartingales.

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