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On the martingale property of certain local martingales

✍ Scribed by Aleksandar Mijatović; Mikhail Urusov


Publisher
Springer
Year
2010
Tongue
English
Weight
403 KB
Volume
152
Category
Article
ISSN
1432-2064

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📜 SIMILAR VOLUMES


A minimality property of the minimal mar
✍ Martin Schweizer 📂 Article 📅 1999 🏛 Elsevier Science 🌐 English ⚖ 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