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A simple proof of Kramkov's result on uniform supermartingale decompositions
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Jacka, Saul D. (2012) A simple proof of Kramkov's result on uniform supermartingale decompositions. Stochastics, Vol.84 (No.5-6). pp. 599-602. doi:10.1080/17442508.2011.570343 ISSN 1744-2508.
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Official URL: http://dx.doi.org/10.1080/17442508.2011.570343
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: | Journal Article | ||||
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Subjects: | Q Science > QA Mathematics | ||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | ||||
Library of Congress Subject Headings (LCSH): | Martingales (Mathematics), Decomposition (Mathematics) | ||||
Journal or Publication Title: | Stochastics | ||||
Publisher: | Taylor & Francis Ltd. | ||||
ISSN: | 1744-2508 | ||||
Official Date: | 2012 | ||||
Dates: |
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Volume: | Vol.84 | ||||
Number: | No.5-6 | ||||
Page Range: | pp. 599-602 | ||||
DOI: | 10.1080/17442508.2011.570343 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access | ||||
Description: | Special Issue: The Mark H.A. Davis festschrift: stochastics, control and finance |
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Date of first compliant deposit: | 23 December 2015 | ||||
Date of first compliant Open Access: | 23 December 2015 |
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