On the optional and orthogonal decompositions of a class of semimartingales

DOI10.4171/PM/2083MaRDI QIDQ2694625

Abdelkarem Berkaoui

Publication date: 4 April 2023

Published in: Portugaliae Mathematica (Search for Journal in Brave)

zbMATH Keywords

polar setmartingale measureorthogonal decompositionoptional decompositionm-stability

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The Föllmer-Schweizer decomposition: comparison and description
• In discrete time a local martingale is a martingale under an equivalent probability measure
• Option hedging for semimartingales
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• Optional decompositions under constraints
• Optional decomposition and Lagrange multipliers
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Föllmer-Schweizer decomposition and mean-variance hedging for general claims
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• A quasi-sure optional decomposition and super-hedging result on the Skorokhod space
• Optional decomposition for continuous semimartingales under arbitrary filtrations
• A simple proof of Kramkov's result on uniform supermartingale decompositions
• Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market
• On representations of the set of supermartingale measures and applications in continuous time
• Optional decomposition of optional supermartingales and applications to filtering and finance
• On Square Integrable Martingales