Electronic Communications in Probability

Optional decomposition for continuous semimartingales under arbitrary filtrations

Ioannis Karatzas and Constantinos Kardaras

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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).

Article information

Source
Electron. Commun. Probab., Volume 20 (2015), paper no. 59, 10 pp.

Dates
Accepted: 14 August 2015
First available in Project Euclid: 7 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ecp/1465320986

Digital Object Identifier
doi:10.1214/ECP.v20-4090

Mathematical Reviews number (MathSciNet)
MR3384117

Zentralblatt MATH identifier
1327.60102

Subjects
Primary: 60H05: Stochastic integrals
Secondary: 60H30: Applications of stochastic analysis (to PDE, etc.) 91B28

Keywords
Semimartingales optional decomposition local martingale deflators

Rights
This work is licensed under a Creative Commons Attribution 3.0 License.

Citation

Karatzas, Ioannis; Kardaras, Constantinos. Optional decomposition for continuous semimartingales under arbitrary filtrations. Electron. Commun. Probab. 20 (2015), paper no. 59, 10 pp. doi:10.1214/ECP.v20-4090. https://projecteuclid.org/euclid.ecp/1465320986


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