Some remarks on the optional decomposition theorem
Stricker, Christophe ; Yan, Jia-An
Séminaire de probabilités de Strasbourg, Tome 32 (1998), p. 56-66 / Harvested from Numdam
Publié le : 1998-01-01
@article{SPS_1998__32__56_0,
     author = {Stricker, Christophe and Yan, Jia-An},
     title = {Some remarks on the optional decomposition theorem},
     journal = {S\'eminaire de probabilit\'es de Strasbourg},
     volume = {32},
     year = {1998},
     pages = {56-66},
     mrnumber = {1651229},
     zbl = {0910.60037},
     language = {en},
     url = {http://dml.mathdoc.fr/item/SPS_1998__32__56_0}
}
Stricker, Christophe; Yan, Jia-An. Some remarks on the optional decomposition theorem. Séminaire de probabilités de Strasbourg, Tome 32 (1998) pp. 56-66. http://gdmltest.u-ga.fr/item/SPS_1998__32__56_0/

[1] J.P. Ansel and C. Stricker, Couverture des actifs contingents et prix maximum, Ann. Inst. Henri Poincaré, vol. 30. n° 2, p. 303-315,1994. | Numdam | MR 1277002 | Zbl 0796.60056

[2] N. El Karoui and M.C. Quenez, Dynamic programming and pricing of contingent claims in an incomplete market, SIAM Journal on Control and Optimization, 33 (1), p. 27-66, 1995. | MR 1311659 | Zbl 0831.90010

[3] M. Émery, Compensation de processus à variation finie non localement intégrables, Séminaire Prob. XIV, LN in Math. 784, p. 152-160, Springer 1980. | Numdam | MR 580120 | Zbl 0428.60054

[4] H. Föllmer and Y. Kabanov, On the optional decomposition theorem and the Lagrange multipliers, to appear in Finance and Stochastics, 1996. | MR 1804665 | Zbl 0894.90016

[5] S.D. Jacka, A. Martingale Representation Result and an Appplication to Incomplete Financial Markets, Mathematical Finance 2, p. 239-250, 1992. | Zbl 0900.90044

[6] J. Jacod, Calcul stochastique et problèmes de martingales, LN in Math. 714, Springer 1979. | MR 542115 | Zbl 0414.60053

[7] D.O. Kramkov, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. To appear in Prob. Theory and Related Fields, 1996. | MR 1402653 | Zbl 0853.60041