On the uniqueness of the optional decomposition of semimartingales

DOI10.1134/S0001434619030209zbMath1415.60042OpenAlexW2944548841WikidataQ127902453 ScholiaQ127902453MaRDI QIDQ2314116

E. A. Shelemekh, V. M. Khametov

Publication date: 19 July 2019

Published in: Mathematical Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0001434619030209

zbMATH Keywords

semimartingaleoptional decompositionset of equivalent probability measuresDoob uniform decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48)

Cites Work

• Optimal stopping for non-linear expectations. I
• Optimal stopping for non-linear expectations. II
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Optimal Stopping With Multiple Priors
• Stochastic finance. An introduction in discrete time
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: On the uniqueness of the optional decomposition of semimartingales