A simple proof of Kramkov's result on uniform supermartingale decompositions

DOI10.1080/17442508.2011.570343zbMath1255.60072OpenAlexW2008045941MaRDI QIDQ3145077

S. D. Jacka

Publication date: 13 December 2012

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: http://wrap.warwick.ac.uk/52249/1/WRAP_Jacka_UnisupSubRev4.pdf

zbMATH Keywords

uniform optional decompositionuniform predictable decompositionuniform supermartingale

Mathematics Subject Classification ID

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

Related Items (3)

Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ On the optional and orthogonal decompositions of supermartingales and applications ⋮ On the optional and orthogonal decompositions of a class of semimartingales

Cites Work

• Unnamed Item
• Calcul stochastique et problèmes de martingales
• Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets
• Dynamic coherent risk measures

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