On representations of the set of supermartingale measures and applications in continuous time

DOI10.1080/17442508.2018.1518983zbMath1492.60107OpenAlexW2891396921WikidataQ129273195 ScholiaQ129273195MaRDI QIDQ5086418

Abdelkarem Berkaoui

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2018.1518983

zbMATH Keywords

martingale representationoptional decompositionsublinear expectationm-stabilitysupermartingale measure

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

On the optional and orthogonal decompositions of a class of semimartingales

Cites Work

• Optional decompositions under constraints
• On representations of the set of supermartingale measures and applications in discrete time
• On a generalized optional decomposition theorem
• A characterization of the set of local martingale measures
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