Jacka, Saul D. (2011) A simple proof of Kramkov's result on uniform supermartingale decompositions. Working Paper. Coventry: University of Warwick. Centre for Research in Statistical Methodology. (Working papers, Vol.2011).

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Abstract

We give a simple proof of Kramkov's uniform optional decomposition in the case where the class of density processes satisfies a suitable closure property. In this case the decomposition is previsible.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	Q Science > QA Mathematics
Divisions:	Faculty of Science > Statistics
Library of Congress Subject Headings (LCSH):	Decomposition (Mathematics), Martingales (Mathematics)
Series Name:	Working papers
Publisher:	University of Warwick. Centre for Research in Statistical Methodology
Place of Publication:	Coventry
Date:	2011
Volume:	Vol.2011
Number:	No.6
Status:	Not Peer Reviewed
Access rights to Published version:	Open Access
References:	[1] Benes, V: Existence of Optimal Stochastic Control Laws (1971), SIAM J. of Control and Optim. 9, 446-472. [2] Jacod, J: Calcul Stochastique et Problemes de Martingales, LNM 714, Springer, Berlin (1979) . [3] Jacod, J and Shiryaev, A: Limit Theorems for Stochastic Processes 2nd Edition, Springer, Berlin, (2003). [4] Kramkov, D: Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets (1996), Prob. Th & Rel. Fields 105, 459-479. [5] Reidel, F: Dynamic Coherent Risk Measures (2004), Stoch. Proc. and Appl. 112, 185-200.
URI:	http://wrap.warwick.ac.uk/id/eprint/34876

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