Geodesic
On the Uniqueness of the Optional Decomposition of Semimartingales
Matematičeskie zametki, Tome 105 (2019) no. 3, pp. 476-480.

Voir la notice de l'article provenant de la source Math-Net.Ru

Keywords: semimartingale, set of equivalent probability measures.
Mots-clés : optional decomposition, Doob uniform decomposition 
@article{MZM_2019_105_3_a16,
     author = {V. M. Khametov and E. A. Shelemekh},
     title = {On the {Uniqueness} of the {Optional} {Decomposition} of {Semimartingales}},
     journal = {Matemati\v{c}eskie zametki},
     pages = {476--480},
     publisher = {mathdoc},
     volume = {105},
     number = {3},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MZM_2019_105_3_a16/}
}
TY  - JOUR
AU  - V. M. Khametov
AU  - E. A. Shelemekh
TI  - On the Uniqueness of the Optional Decomposition of Semimartingales
JO  - Matematičeskie zametki
PY  - 2019
SP  - 476
EP  - 480
VL  - 105
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/MZM_2019_105_3_a16/
LA  - ru
ID  - MZM_2019_105_3_a16
ER  - 
%0 Journal Article
%A V. M. Khametov
%A E. A. Shelemekh
%T On the Uniqueness of the Optional Decomposition of Semimartingales
%J Matematičeskie zametki
%D 2019
%P 476-480
%V 105
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/MZM_2019_105_3_a16/
%G ru
%F MZM_2019_105_3_a16
V. M. Khametov; E. A. Shelemekh. On the Uniqueness of the Optional Decomposition of Semimartingales. Matematičeskie zametki, Tome 105 (2019) no. 3, pp. 476-480. http://geodesic.mathdoc.fr/item/MZM_2019_105_3_a16/

[1] R. Elliott, Stokhasticheskii analiz i ego prilozheniya, Mir, M., 1986 | MR

[2] R. Liptser, A. Shiryaev, Teoriya martingalov, Fizmatlit, M., 1986 | MR

[3] Zh. Zhakod, A. Shiryaev, Predeltnye teoremy dlya sluchainykh protsessov, T. 1, Fizmatlit, M., 1994 | MR

[4] A. V. Bulinskii, A. N. Shiryaev, Teoriya sluchainykh protsessov, Fizmatlit, M., 2005

[5] A. N. Shiryaev, Statisticheskii posledovatelnyi analiz. Optimalnye pravila ostanovki, Fizmatlit, M., 1976 | MR

[6] G. Robbins, D. Sigmund, I. Chao, Teoriya optimalnykh pravil ostanovki, Nauka, M., 1977 | MR

[7] G. Felmer, A. Shid, Vvedenie v stokhasticheskie finansy. Diskretnoe vremya, MNTsMO, M., 2008

[8] A. N. Shiryaev, Osnovy stokhasticheskoi finansovoi matematiki. T. 2. Teoriya, FAZIS, M., 1998

[9] D. O. Kramkov, Probab. Theory Related Fields, 105:4 (1996), 459–479 | DOI | MR | Zbl

[10] F. Riedel, Econometrica, 77:3 (2009), 857–908 | DOI | MR | Zbl

[11] H. Follmer, Y. M. Kabanov, Finance Stoch., 2:1 (1997), 69–81 | DOI | MR

[12] E. Bayraktar, S. Yao, Stochastic Process. Appl., 121:2 (2011), 185–211 | DOI | MR | Zbl

[13] E. Bayraktar, S. Yao, Stochastic Process. Appl., 121:2 (2011), 212–264 | DOI | MR | Zbl