Martingale decomposition of an L2 space with nonlinear stochastic integrals

DOI10.1017/jpr.2019.70zbMath1427.60075arXiv1803.00108OpenAlexW2994906333MaRDI QIDQ5205953

Clarence Simard

Publication date: 17 December 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.00108

zbMATH Keywords

optimizationmartingalesClark-Ocone formulastochastic calculusorthogonal decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

• Approximating random variables by stochastic integrals
• Liquidity risk and arbitrage pricing theory
• The Malliavin Calculus and Related Topics
• Probability with Martingales
• Hedging and Portfolio Optimization in Financial Markets with a Large Trader
• Nonlinear stochastic integration with a non-smooth family of integrators
• On Square Integrable Martingales
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