Optional Decomposition for continuous semimartingales under arbitrary filtrations
暂无分享,去创建一个
[1] Gordan Zitkovic,et al. Stability of utility-maximization in incomplete markets , 2007, 0706.0474.
[2] Hans Föllmer,et al. Optional decomposition and Lagrange multipliers , 1997, Finance Stochastics.
[3] H. Föllmer,et al. Optional decompositions under constraints , 1997 .
[4] F. Delbaen,et al. A general version of the fundamental theorem of asset pricing , 1994 .
[5] S. Shreve,et al. Methods of Mathematical Finance , 2010 .
[6] Constantinos Kardaras,et al. Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing , 2009, 0911.5503.
[7] Ioannis Karatzas,et al. Brownian Motion and Stochastic Calculus , 1987 .
[8] A. Shiryaev,et al. Limit Theorems for Stochastic Processes , 1987 .
[9] C. Dellacherie. Capacités et processus stochastiques , 1972 .
[10] D. Kramkov. Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets , 1996 .
[11] John P. Lehoczky,et al. Martingale and duality methods for utuility [ i . e . , utility ] maximization in an incomplete market , 2015 .
[12] N. Karoui,et al. Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market , 1995 .
[13] M. Schweizer. On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition , 1995 .
[14] Xiongzhi Chen. Brownian Motion and Stochastic Calculus , 2008 .
[15] H. Bateman. Book Review: Ergebnisse der Mathematik und ihrer Grenzgebiete , 1933 .
[16] Saul D. Jacka. A simple proof of Kramkov's result on uniform supermartingale decompositions , 2012 .
[17] Jia-An Yan,et al. Some remarks on the optional decomposition theorem , 1998 .
[18] P. Varaiya,et al. Dynamic Programming Conditions for Partially Observable Stochastic Systems , 1973 .