Some remarks on the optional decomposition theorem
Let \(S\) be a vector-valued semimartingale and let \({\mathcal Z}(S)\) be the set of all strictly positive local martingales \(Z\) with \(Z_0=1\) such that \(ZS\) is a local martingale assumed being non-empty. Let \(V\geq 0\) be a process such that \(ZV\) is a supermartingale for each \(Z\in {\mathcal Z}(S)\). Then \(V=V_0+\varphi\cdot S-C\) where \(C\) is an increasing process with \(C_0\). This result is an extension of the optional decomposition theorem of \textit{H. Föllmer} and \textit{Yu. M. Kabanov} [Finance Stoch. 2, No. 1, 69-81 (1998; Zbl 0894.90016)] where \(V\) was assumed to be a supermartingale under each equivalent martingale measure of \(S\). For the entire collection see [Zbl 0893.00035].
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Optional decomposition and Lagrange multipliers
- On the optional and orthogonal decompositions of a class of semimartingales
- Optional decomposition for continuous semimartingales under arbitrary filtrations
- Optional decomposition and Lagrange multipliers
- Strict local martingale deflators and valuing American call-type options
- Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
- Duality for optimal consumption under no unbounded profit with bounded risk
- Filtration shrinkage, the structure of deflators, and failure of market completeness
- The value of informational arbitrage
- On the uniqueness of the optional decomposition of semimartingales
- The numéraire portfolio in semimartingale financial models
- On the optional and orthogonal decompositions of a class of semimartingales
- Locally -integrable -martingale densities for general semimartingales
- On a generalized optional decomposition theorem
- Strong bubbles and strict local martingales
- The Formation of Financial Bubbles in Defaultable Markets
- Some remarks on profile decomposition theorems
- No arbitrage of the first kind and local martingale numéraires
- scientific article; zbMATH DE number 19579 (Why is no real title available?)
- scientific article; zbMATH DE number 1144393 (Why is no real title available?)
- A time before which insiders would not undertake risk
- A note on the condition of no unbounded profit with bounded risk
- Optimal investment with intermediate consumption under no unbounded profit with bounded risk
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
- Optional decomposition of optional supermartingales and applications to filtering and finance
- On the optional and orthogonal decompositions of supermartingales and applications
- Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
- Arbitrage theory in a market of stochastic dimension
- The fundamental theorem of asset pricing for continuous processes under small transaction costs
- How non-arbitrage, viability and numéraire portfolio are related
This page was built for publication: Some remarks on the optional decomposition theorem
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4213413)
