Optional decomposition and lagrange multipliers

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 1997,54

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: equivalent martingale measure ; optional decomposition ; semimartingale ; Hellinger process ; Lagrange multiplier

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Föllmer, Hans ; Kabanov, Jurij M.
• Event: Veröffentlichung
• (who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
• (where): Berlin
• (when): 1997

Further information

• Handle: http://hdl.handle.net/10419/66314
• URN: urn:nbn:de:kobv:11-10064346
• Last update: 10.03.2025, 11:43 AM CET