Optional Decomposition for continuous semimartingales under arbitrary filtrations
Probability
2015-02-05 v2 Mathematical Finance
Abstract
We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).
Cite
@article{arxiv.1501.04274,
title = {Optional Decomposition for continuous semimartingales under arbitrary filtrations},
author = {Ioannis Karatzas and Constantinos Kardaras},
journal= {arXiv preprint arXiv:1501.04274},
year = {2015}
}
Comments
10 pages