ISSN:
1432-1122
Keywords:
Key words: Optional decomposition, semimartingale, equivalent martingale measure, Hellinger process, Lagrange multiplier JEL classification: G10, G12 Mathematics Subject Classification (1991): 60H05, 90A09
Source:
Springer Online Journal Archives 1860-2000
Topics:
Mathematics
,
Economics
Notes:
Abstract. Let ${\cal Q}$ be the set of equivalent martingale measures for a given process $S$ , and let $X$ be a process which is a local supermartingale with respect to any measure in ${\cal Q}$ . The optional decomposition theorem for $X$ states that there exists a predictable integrand $\varphi$ such that the difference $X-\varphi\cdot S$ is a decreasing process. In this paper we give a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption.
Type of Medium:
Electronic Resource
URL:
http://dx.doi.org/10.1007/s007800050033
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