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On semimartingale decompositions of convex functions of semimartingales

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Publication:811642
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zbMath0741.60035MaRDI QIDQ811642

Philip E. Protter, Eric Anders Carlen

Publication date: 1992

Published in: Illinois Journal of Mathematics (Search for Journal in Brave)


zbMATH Keywords

semimartingalesemimartingale decomposition


Mathematics Subject Classification ID

Generalizations of martingales (60G48)


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General change of variable formulas for semimartingales in one and finite dimensions ⋮ Interbank lending with benchmark rates: Pareto optima for a class of singular control games ⋮ Generative OrnsteinUhlenbeck markets via geometric deep learning ⋮ A quasi-sure optional decomposition and super-hedging result on the Skorokhod space ⋮ The early exercise premium representation for American options on multiply assets




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