Optional decomposition for continuous semimartingales under arbitrary filtrations

Karatzas, Ioannis; and Kardaras, ConstantinosORCID logo (2015) Optional decomposition for continuous semimartingales under arbitrary filtrations. Electronic Communications in Probability, 20 (59). pp. 1-10. ISSN 1083-589X
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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).
Item Type Article
Keywords semimartingales,optional decomposition,local martingale deflators
Departments LSE
DOI 10.1214/ECP.v20-4090
Date Deposited 09 Sep 2015 16:05
URI https://researchonline.lse.ac.uk/id/eprint/63480

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