@article{SPS_1998__32__56_0, author = {Stricker, Christophe and Yan, Jia-An}, title = {Some remarks on the optional decomposition theorem}, journal = {S\'eminaire de probabilit\'es de Strasbourg}, pages = {56--66}, publisher = {Springer - Lecture Notes in Mathematics}, volume = {32}, year = {1998}, mrnumber = {1651229}, zbl = {0910.60037}, language = {en}, url = {http://archive.numdam.org/item/SPS_1998__32__56_0/} }
TY - JOUR AU - Stricker, Christophe AU - Yan, Jia-An TI - Some remarks on the optional decomposition theorem JO - Séminaire de probabilités de Strasbourg PY - 1998 SP - 56 EP - 66 VL - 32 PB - Springer - Lecture Notes in Mathematics UR - http://archive.numdam.org/item/SPS_1998__32__56_0/ LA - en ID - SPS_1998__32__56_0 ER -
%0 Journal Article %A Stricker, Christophe %A Yan, Jia-An %T Some remarks on the optional decomposition theorem %J Séminaire de probabilités de Strasbourg %D 1998 %P 56-66 %V 32 %I Springer - Lecture Notes in Mathematics %U http://archive.numdam.org/item/SPS_1998__32__56_0/ %G en %F SPS_1998__32__56_0
Stricker, Christophe; Yan, Jia-An. Some remarks on the optional decomposition theorem. Séminaire de probabilités de Strasbourg, Tome 32 (1998), pp. 56-66. http://archive.numdam.org/item/SPS_1998__32__56_0/
[1] Couverture des actifs contingents et prix maximum, Ann. Inst. Henri Poincaré, vol. 30. n° 2, p. 303-315,1994. | Numdam | MR | Zbl
and ,[2] Dynamic programming and pricing of contingent claims in an incomplete market, SIAM Journal on Control and Optimization, 33 (1), p. 27-66, 1995. | MR | Zbl
and ,[3] Compensation de processus à variation finie non localement intégrables, Séminaire Prob. XIV, LN in Math. 784, p. 152-160, Springer 1980. | Numdam | MR | Zbl
,[4] On the optional decomposition theorem and the Lagrange multipliers, to appear in Finance and Stochastics, 1996. | MR | Zbl
and ,[5] Representation Result and an Appplication to Incomplete Financial Markets, Mathematical Finance 2, p. 239-250, 1992. | Zbl
,[6] Calcul stochastique et problèmes de martingales, LN in Math. 714, Springer 1979. | MR | Zbl
,[7] Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. To appear in Prob. Theory and Related Fields, 1996. | MR | Zbl
,