@article{AIHPB_1996__32_6_743_0, author = {Delbaen, Freddy and Schachermayer, Walter}, title = {Attainable claims with p'th moments}, journal = {Annales de l'I.H.P. Probabilit\'es et statistiques}, volume = {32}, year = {1996}, pages = {743-763}, mrnumber = {1422309}, zbl = {0869.90005}, language = {en}, url = {http://dml.mathdoc.fr/item/AIHPB_1996__32_6_743_0} }
Delbaen, F.; Schachermayer, W. Attainable claims with p'th moments. Annales de l'I.H.P. Probabilités et statistiques, Tome 32 (1996) pp. 743-763. http://gdmltest.u-ga.fr/item/AIHPB_1996__32_6_743_0/
[AS 94] Couverture des actifs contingents et prix maximum, Ann. Inst. Henri Poincaré, Vol. 30, 1994, pp. 303-315. | Numdam | MR 1277002 | Zbl 0796.60056
and ,[BS 73] The Pricing of Options and Corporate Liabilities, Journal of Political Economy, Vol. 81, 1973, pp. 637-659. | Zbl 01602446
and ,[D 77] Wiener functionals as Itô integrals, Annales of Probability, Vol. 5, 1977, pp. 140-141. | MR 426151 | Zbl 0359.60071
,[DMSSS 94] Inégalités de Normes avec Poids et Fermeture d'un Espace d'Intégrales Stochastiques, C. R. Acad. Sci. Paris, T. 319, série I, 1994, pp. 1079-1081. | MR 1305680 | Zbl 0810.60047
, , , and ,[DS 94] A General Version of the Fundamental Theorem of Asset Pricing, to appear in Math. Annalen, 1994. | MR 1304434 | Zbl 0865.90014
and ,[DS 94b] A Simple Counter-Example to Several Problems in the Theory of Asset Pricing, which arises in many Incomplete Markets, to appear in Math. Finance. | Zbl 0910.60038
and ,[HK 79] Martingales and Arbitrage in Multiperiod Securities Markets, Journal of Economic Theory, Vol. 20, 1979, pp. 381-408. | MR 540823 | Zbl 0431.90019
and ,[HP 81] Martingales and Stochastic Integrals in the Theory of Continous Trading, Stochastic Processes and their Applications, Vol. 11, 1981, pp. 215-260. | MR 622165 | Zbl 0482.60097
and ,[J 79] Calcul Stochastique et Problèmes de Martingales, Lecture Notes in Mathematics, Vol. 714, 1979. | MR 542115 | Zbl 0414.60053
,[Ja 92] A Martingale Representation Result and an Application to Incomplete Financial Markets, Math. Finance, Vol. 2, 1992, pp. 239-250. | Zbl 0900.90044
,[K 81] Arbitrage and Equilibrium in Economics with infinitely many Commodities, Journal of Mathematical Economics, Vol. 8, 1981, pp. 15-35. | MR 611252 | Zbl 0454.90010
,[KLSX 91] Martingale and Duality Methods for Utility Maximisation in an Incomplete Market, SIAM Journal of Control and Optimisation, Vol. 29, 1991, pp. 702-730. | MR 1089152 | Zbl 0733.93085
, , and ,[KQ 92] Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market, preprint. | MR 1138563
and ,[KW 67] On Square Integrable Martingales, Nagoya Mathematical Journal, Vol. 30, 1967, pp. 209-245. | MR 217856 | Zbl 0167.46602
and ,[MS 94] Décomposition de Föllmer-Schweizer et Fermeture de GT(Θ), C. R. Acad. Sci., Paris, série I, T. 318, 1994, pp. 573-576. | MR 1270084 | Zbl 0797.60040
and ,[MS 94b] Fermeture de GT(Θ) et de {c + GT(Θ)|c ∈ R}, preprint, Université de Franche-Comté, Besançon.
and ,[P 90] Stochastic Integration and Differential Equations, Applications of Mathematics, Springer, Vol. 21, 1990. | MR 1037262 | Zbl 0694.60047
,[Sch 93] A counterexample to Several Problems in the Theory of Asset Pricing, Mathematical Finance, Vol. 3, 1993, pp. 217-230. | Zbl 0884.90050
,[Schw 93] Approximating Random Variables by Stochastic Integrals, preprint, University of Göttingen, to appear in Annals of Probability. | MR 1303653 | Zbl 0814.60041
,[St 90] Arbitrage et Lois de Martingale, Ann. Inst. H. Poincaré, Vol. 26, 1990, pp. 451-460. | Numdam | MR 1066088 | Zbl 0704.60045
,[Y 78] Sous-espaces denses dans L1 ou H1 et représentation des martingales, Sém. de Probabilité XII, Springer LNM, Vol. 649, pp. 265-309. | Numdam | MR 520008 | Zbl 0391.60046
,