Arbeitspapier
Optional decompositions under constraints
Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional decompositions, both in additive and in multiplicative form, and under constraints corresponding to di_erent classes of equivalent measures. As an application, we extend results of Karatzas and Cvitanic [3] on hedging problems with constrained portfolios.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 373 Discussion Paper ; No. 1997,31
- Classification
-
Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Föllmer, Hans
Kramkov, D. O.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
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Berlin
- (when)
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1997
- Handle
- URN
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urn:nbn:de:kobv:11-10064163
- Last update
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10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Föllmer, Hans
- Kramkov, D. O.
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 1997
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