Optional Decomposition for continuous semimartingales under arbitrary filtrations

2015/01/18 by Ioannis Karatzas, Karatzas, Ioannis, Constantinos Kardaras +1
Economics, Econometrics and Finance · Mathematics · #60H05 #60H30 #91B28 #FOS: Economics and business #FOS: Mathematics #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #math.PR #msc:60H05 #msc:60H30 #msc:91B28 #q-fin.MF

paper · pdf · doi:10.48550/arxiv.1501.04274

10 pages

openalex publication_date 2015/01/18 · arxiv created 2015/02/04 · arxiv updated 2015/02/05 · openalex created_date 2022/08/19 · openalex updated_date 2026/07/28

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).

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