Geodesic
The Cheapest Superstrategy without Optional Decomposition
Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 249-255

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

We follow very closely the Föllmer and Kabanov Lagrange multiplier approach to superstrategies in perfect incomplete markets, except that we provide a very simple proof of the existence of a minimizing multiplier in the case of a European option under the assumption that the discounted process of the underlying is an $L^{2}(P)$-martingale for some probability $P$. Even if it gives the existence of a superstrategy associated with the supremum of the expectations under equivalent martingale measures, our result is much weaker than the optional decomposition theorem. 
@article{TRSPY_2002_237_a14,
     author = {C. Martini},
     title = {The {Cheapest} {Superstrategy} without {Optional} {Decomposition}},
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     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a14/}
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C. Martini. The Cheapest Superstrategy without Optional Decomposition. Informatics and Automation, Stochastic financial mathematics, Tome 237 (2002), pp. 249-255. http://geodesic.mathdoc.fr/item/TRSPY_2002_237_a14/