The \(p\)-optimal martingale measure in continuous trading models

DOI10.1016/S0167-7152(01)00081-5zbMath0988.60040MaRDI QIDQ5950019

Takuji Arai

Publication date: 10 July 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

continuous semimartingaleminimal martingale measures

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44)

Cites Work

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• Une définition faible de BMO. (A weak definition of BMO)
• Martingale laws, densities and decomposition of Föllmer-Schweizer
• The \(p\)-optimal martingale measure and its asymptotic relation with the minimal-entropy martingale measure
• Continuous exponential martingales and BMO
• The relations between minimal martingale measure and minimal entropy martingale measure
• On the minimal martingale measure and the möllmer-schweizer decomposition

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