A minimality property of the minimal mar
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Martin Schweizer
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Article
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1999
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Elsevier Science
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English
โ 82 KB
Let X be a continuous adapted process for which there exists an equivalent local martingale measure (ELMM). The minimal martingale measure P is the unique ELMM for X with the property that local P-martingales strongly orthogonal to the P-martingale part of X are also local P-martingales. We prove th