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},
year = {2019},
volume = {105},
number = {3},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/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