\(\mathcal E\)-martingales and their applications in mathematical finance

DOI10.1214/aop/1022855653zbMath0938.60032OpenAlexW1608811843MaRDI QIDQ1307508

Tahir Choulli, Christophe Stricker, Leszek Krawczyk

Publication date: 5 June 2000

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1022855653

zbMATH Keywords

semimartingalesstochastic integralsweighted norm inequalitiesFöllmer-Schweizer decompositionstochastic exponentialreverse Hölder inequalities

Mathematics Subject Classification ID

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Cites Work

• Calcul stochastique et problèmes de martingales
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• A note on the no arbitrage condition for international financial markets
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Weighted norm inequalities and hedging in incomplete markets
• Continuous exponential martingales and BMO
• A general version of the fundamental theorem of asset pricing
• Approximating random variables by stochastic integrals
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• The variance-optimal martingale measure for continuous processes
• The existence of absolutely continuous local martingale measures
• Weighted Inequalities for Maximal Operators: Linearization, Localization and Factorization
• [https://portal.mardi4nfdi.de/wiki/Publication:4155579 Sur l'int�grabilit� uniforme des martingales exponentielles]
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