The Föllmer-Schweizer decomposition: comparison and description
From MaRDI portal
Publication:981002
DOI10.1016/j.spa.2010.02.004zbMath1196.60077MaRDI QIDQ981002
Michèle Vanmaele, Nele Vandaele, Tahir Choulli
Publication date: 8 July 2010
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2010.02.004
incomplete markets; Föllmer-Schweizer decomposition; Galtchouk-Kunita-Watanabe decomposition; minimal martingale measure; local risk-minimization; predictable characteristics
60G46: Martingales and classical analysis
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