Some remarks on the optional decomposition theorem
Séminaire de probabilités de Strasbourg, Tome 32 (1998), pp. 56-66.
@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] J.P. Ansel and C. Stricker, Couverture des actifs contingents et prix maximum, Ann. Inst. Henri Poincaré, vol. 30. n° 2, p. 303-315,1994. | Numdam | MR | Zbl

[2] N. El Karoui and M.C. Quenez, 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

[3] M. Émery, 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] H. Föllmer and Y. Kabanov, On the optional decomposition theorem and the Lagrange multipliers, to appear in Finance and Stochastics, 1996. | MR | Zbl

[5] S.D. Jacka, A. Martingale Representation Result and an Appplication to Incomplete Financial Markets, Mathematical Finance 2, p. 239-250, 1992. | Zbl

[6] J. Jacod, Calcul stochastique et problèmes de martingales, LN in Math. 714, Springer 1979. | MR | Zbl

[7] D.O. Kramkov, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. To appear in Prob. Theory and Related Fields, 1996. | MR | Zbl