Föllmer-Schweizer decomposition and mean-variance hedging for general claims
type: Item
instance of: scholarly article
title: Föllmer-Schweizer decomposition and mean-variance hedging for general claims
zbMATH Open document ID: 0830.60040
author: Pascale Monat
author: Ch. Stricker
published in: The Annals of Probability
publication date: 1996-01-15T00:00:00Z
review text: Because of some motivations in financial mathematics, it is interesting to look for the decomposition of a square integrable \({\mathcal F}_T\)- measurable random variable into the sum of an \({\mathcal F}_0\)-measurable random variable, a stochastic integral with respect to some given special semimartingale \(X\), and a martingale which is orthogonal to every stochastic integral with respect to the martingale part of \(X\). This is the so-called Föllmer-Schweizer decomposition. The authors prove existence and uniqueness of such a decomposition under the assumption that the mean-variance tradeoff process of \(X\) is uniformly bounded; moreover, this decomposition is shown to be continuous with respect to the quadratic norm.
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60H05
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 796512
zbMATH Keywords: semimartingales
zbMATH Keywords: orthogonal martingales
zbMATH Keywords: financial mathematics
zbMATH Keywords: Föllmer-Schweizer decomposition
reviewed by: Dominique Lépingle
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aop/1176988281
OpenAlex ID: W1977907686
DOI: 10.1214/AOP/1176988281
description: scientific article; zbMATH DE number 796512