On a generalized optional decomposition theorem

DOI10.1080/17442508.2014.895357zbMath1337.60082OpenAlexW2083543397MaRDI QIDQ2811115

Abdelkarem Berkaoui

Publication date: 10 June 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2014.895357

zbMATH Keywords

robust hedgingoptional decompositionsublinear expectationpredictable convexity

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80)

Related Items (2)

On representations of the set of supermartingale measures and applications in continuous time ⋮ A characterization of the set of local martingale measures

Cites Work

• Unnamed Item
• In discrete time a local martingale is a martingale under an equivalent probability measure
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Conditional and dynamic convex risk measures
• Optimal Stopping With Multiple Priors

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