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Persistent link: https://www.econbiz.de/10001917057
Motivated by a hedging problem in mathematical finance, El Karoui and Quenez [7] and Kramkov [14] have developed optional versions of the Doob-Meyer decomposition which hold simultaneously for all equivalent martingale measures. We investigate the general structure of such optional...
Persistent link: https://www.econbiz.de/10009657127