Generalization of Doob Decomposition Theorem and Risk Assessment in Incomplete Markets

In the paper, we introduce the notion of a local regular supermartingale relative to a convex set of equivalent measures and prove for it the necessary and sufficient conditions of optional Doob decomposition in the discrete case. This Theorem is a generalization of the famous Doob decomposition ont...

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Bibliographische Detailangaben

1. Verfasser:	Gonchar, N. S
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematics - Probability Quantitative Finance - Mathematical Finance Quantitative Finance - Pricing of Securities Quantitative Finance - Risk Management
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