Optional decomposition and lagrange multipliers

Hans Föllmer and Jurij M. Kabanov
Authors registered in the RePEc Author Service: Юрий Михайлович Кабанов

No 1997,54, SFB 373 Discussion Papers from Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Abstract: Let Q be the set of equivalent martingale measures for a given process S, and let X be a process which is a local supermartingale with respect to any measure in Q. The optional decomposition theorem for X states that there exists a predictable integrand ф such that the difference X−ф•S is a decreasing process. In this paper we give a new proof which uses techniques from stochastic calculus rather than functional analysis, and which removes any boundedness assumption.

Keywords: equivalent martingale measure; optional decomposition; semimartingale; Hellinger process; Lagrange multiplier (search for similar items in EconPapers)
JEL-codes: G10 G12 (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Journal Article: Optional decomposition and Lagrange multipliers (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:sfb373:199754

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