A new martingale representation theorem (discrete time)

DOI10.1023/B:MATN.0000015020.85960.F0MaRDI QIDQ869776zbMATH OpenOpenAlexFDO

Authors N. S. Boyarintseva, V. M. Khametov

Publication date 9 March 2007

Published in Mathematical Notes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/b:matn.0000015020.85960.f0

zbMATH Keywords

martingale measureBellman equationoptimal strategyBellman functionadmissible strategyS-representationstochastic basis

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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