Online Resource
Berlin : Humboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
Format:
1 Online-Ressource (13 Seiten)
ISSN:
1436-1086
Series Statement:
Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes 1997,2006,54
Content:
Let 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 Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•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.
Language:
English
URN:
urn:nbn:de:kobv:11-10064346
URL:
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