Optional decomposition and Lagrange multipliers
type: Item
instance of: scholarly article
title: Optional decomposition and Lagrange multipliers
zbMATH Open document ID: 0894.90016
published in: Finance and Stochastics
publication date: 1998-03-17T00:00:00Z
full work available at URL: http://edoc.hu-berlin.de/18452/4483
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 1129631
zbMATH Keywords: semimartingale
zbMATH Keywords: Hellinger process
zbMATH Keywords: Lagrange multiplier
zbMATH Keywords: equivalent martingale measures
zbMATH Keywords: local supermartingale
zbMATH Keywords: decomposition
author: Hans Föllmer
author: Yuri Kabanov
MaRDI profile type: Publication
OpenAlex ID: W1993529344
DOI: 10.1007/S007800050033
description: scientific article; zbMATH DE number 1129631