English, Article, Journal or magazine article edition: On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition Martin Schweizer

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Bookmark: http://trove.nla.gov.au/version/52060
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition
Author
  • Martin Schweizer
Physical Description
  • preprint
Notes
  • We provide three characterizations of the minimal martingale measure P associated to a given d- dimensional semimartingale X. In each case, P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over a suitable class of signed local martingale measures for X. Furthermore, we extend a result of Ansel and Stricker on the Foellmer-Schweizer decomposition to the case where X is continuous, but multidimensional.
  • minimal signed martingale measure, Foellmer-Schweizer decomposition, martingale densities, structure condition, semimartingales
  • RePEc:bon:bonsfb:284
Language
  • English
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