𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A super-martingale property of the optimal portfolio process

✍ Scribed by Walter Schachermayer

Book ID
106235937
Publisher
Springer-Verlag
Year
2003
Tongue
English
Weight
282 KB
Volume
7
Category
Article
ISSN
0949-2984

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

A minimality property of the minimal mar
A minimality property of the minimal martingale measure
✍ Martin Schweizer πŸ“‚ Article πŸ“… 1999 πŸ› Elsevier Science 🌐 English βš– 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