Optional decompositions under constraints

被引：116

作者：

Follmer, H ^{[1
]}

Kramkov, D ^{[1
]}

机构：

[1] VA STEKLOV MATH INST,MOSCOW 117966,RUSSIA

来源：

PROBABILITY THEORY AND RELATED FIELDS | 1997年 / 109卷 / 01期

关键词：

D O I：

10.1007/s004400050122

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 different classes of equivalent measures. As an application, we extend results of Karatzas and Cvitanic [3] on hedging problems with constrained portfolios.

引用

页码：1 / 25

页数：25

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