Karatzas, Ioannis and Kardaras, Constantinos ORCID: 0000-0001-6903-4506
(2015)
Optional decomposition for continuous semimartingales under arbitrary filtrations.
Electronic Communications in Probability, 20 (59).
pp. 1-10.
ISSN 1083-589X
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Identification Number: 10.1214/ECP.v20-4090
Abstract
We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).
Item Type: | Article |
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Official URL: | http://ecp.ejpecp.org/index |
Additional Information: | © 2015 The Authors |
Divisions: | LSE |
Subjects: | Q Science > QA Mathematics |
Date Deposited: | 09 Sep 2015 16:05 |
Last Modified: | 31 Jul 2024 14:16 |
Projects: | NSF-DMS-14-05210, 334540 |
Funders: | National Science Foundation, Marie Curie Career Integration Grant (FP7-PEOPLE-2012-CIG) |
URI: | http://eprints.lse.ac.uk/id/eprint/63480 |
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