On closure of a family of martingale measures and an optional decomposition of supermartingales

Theory of Probability and its Applications

Volumn 41, Issue 4, 1996, Pages 788-791

  Kramkov, D O ^a  

^a STEKLOV MATHEMATICAL INSTITUTE   (Russian Federation)

Author keywords

Convergence according to Fatou; Martingale measure; Optional decomposition of supermartingales; Semimartingale

Indexed keywords

EID: 0039120644     PISSN: 0040585X     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (8)

1. J. P. ANSEL AND C. STRICKER, Couverture des actifs contingents, Ann. Inst. H. Poincaré, 30 (1994), pp. 303-315.
2. F. DELBAEN AND W. SCHACHERMAYER, A general version of the fundamental theorem of asset pricing, Math. Ann., 300 (1994), pp. 463-520.
3. N. EL. KAROUI AND M. C. QUENEZ, Dynamic programming and pricing of contingent claims in an incomplete market, SIAM J. Control Optim., 33 (1995), pp. 29-66.
4. H. FÖLLMER AND YU. M. KABANOV, Optional decompositions and Lagrange multipliers, preprint, 1996.
5. H. FÖLLMER AND D. O. KRAMKOV, Optional decompositions under constraints, preprint, 1996.
6. S. D. JACKA, A martingale representation result and an application to incomplete financial markets, Math. Finance, 2 (1992), pp. 239-250.
7. D. O. KRAMKOV, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets, Probab. Theory Related Fields, 105 (1996), pp. 459-479.
8. YU. M. KABANOV AND D. O. KRAMKOV, Asymptotic arbitrage in large financial markets, Finance and Stochastics, to appear.