Risk-minimality and orthogonality of martingales

DOI10.1080/17442509008833637zbMath0702.60049OpenAlexW2058040543MaRDI QIDQ3481019

Martin Schweizer

Publication date: 1990

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509008833637

zbMATH Keywords

decompositionstochastic integralsbounded predictable processorthogonality of martingales and semimartingalestheory of option trading

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

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