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Convergent martingales of asymptotically minimal fluctuation

โœ Scribed by J. M. C. Clark


Publisher
Springer
Year
1987
Tongue
English
Weight
542 KB
Volume
75
Category
Article
ISSN
1432-2064

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A minimality property of the minimal mar
โœ Martin Schweizer ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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