A new martingale representation theorem (discrete time)

From MaRDI portal

Publication:869776

Jump to:navigation, search

DOI10.1023/B:MATN.0000015020.85960.F0zbMath1108.60035OpenAlexW1975309399MaRDI QIDQ869776

V. M. Khametov, N. S. Boyarintseva

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

optimal strategy Bellman equation martingale measure Bellman function admissible strategy S-representation stochastic basis

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

This page was built for publication: A new martingale representation theorem (discrete time)

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Publication:869776&oldid=12820262"