A new martingale representation theorem (discrete time)

DOI10.1023/B:MATN.0000015020.85960.F0zbMATH Open1108.60035OpenAlexW1975309399MaRDI QIDQ869776FDOQ869776

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

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zbMATH Keywords

martingale measureBellman equationoptimal strategyBellman functionadmissible strategyS-representationstochastic basis

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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• Some notes about the martingale representation theorem and their applications
• Predictable representation of the binomial process and application to options in finance
• A martingale system theorem for stock investments

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