A quasi-sure optional decomposition and super-hedging result on the Skorokhod space

DOI10.1007/s00780-021-00458-3zbMath1470.91272arXiv2004.11105OpenAlexW3172990595MaRDI QIDQ2049551

Xiaolu Tan, Bruno Bouchard

Publication date: 27 August 2021

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.11105

zbMATH Keywords

optional decompositionprocesses with jumpsfunctional Itô formulasuper-hedging duality

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (2)

A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance ⋮ On the optional and orthogonal decompositions of a class of semimartingales

Cites Work

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