Optional decomposition of optional supermartingales and applications to filtering and finance
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Cites work
- A simple proof of Kramkov's result on uniform supermartingale decompositions
- Credit risk models with incomplete information
- DECOMPOSITION OF OPTIONAL SUPERMARTINGALES
- Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
- Dynamic valuation of options on non-traded assets and trading strategies
- Filtering of the Markov jump process given the observations of multivariate point process
- Financial markets in the context of the general theory of optional processes
- scientific article; zbMATH DE number 5822909 (Why is no real title available?)
- scientific article; zbMATH DE number 1808239 (Why is no real title available?)
- scientific article; zbMATH DE number 2133125 (Why is no real title available?)
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- scientific article; zbMATH DE number 1210395 (Why is no real title available?)
- scientific article; zbMATH DE number 1827979 (Why is no real title available?)
- Linear and non-linear filtering in mathematical finance: a review
- On linear stochastic equations of optional semimartingales and their applications
- On Linearization of Stochastic Differential Equations of Optimal Nonlinear Filtering
- On some filtering problems arising in mathematical finance
- On the Existence of Optional Modifications for Martingales
- On the Filtering of Semimartingales in Case of Observations of Point Processes
- On the optimal filtering of diffusion processes
- Optional decomposition and Lagrange multipliers
- Optional decomposition for continuous semimartingales under arbitrary filtrations
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Price dynamics on a stock market with asymmetric information
- Stochastic calculus and applications
- Stochastic filtering with application in finance
- Stochastic Integrals with Respect to Optional Semimartingales and Random Measures
- Stock market insider trading in continuous time with imperfect dynamic information
Cited in
(12)- Optional decompositions under constraints
- On the uniqueness of the optional decomposition of semimartingales
- Max-plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
- Optional decomposition for continuous semimartingales under arbitrary filtrations
- On the optional and orthogonal decompositions of a class of semimartingales
- On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration
- A Doob-Meyer decomposition under model ambiguity: the case of compactness
- Parameter estimation in optional semimartingale regression models
- On the optional and orthogonal decompositions of supermartingales and applications
- SDEs with two reflecting barriers driven by optional processes with regulated trajectories
- Criteria for what makes a local optional martingale a true martingale
- Finitely additive supermartingales
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