Optional decomposition for continuous semimartingales under arbitrary filtrations

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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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
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:	17 Oct 2024 17:17
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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