V. M. Khametov, E. A. Shelemekh, “On the Uniqueness of the Optional Decomposition of Semimartingales”, Mat. Zametki, 2019, Volume 105, Issue 3,Pages <nobr>476–480</nobr>

RUS ENG

JOURNALS // Matematicheskie Zametki // Archive

Mat. Zametki, 2019 Volume 105, Issue 3, Pages 476–480 (Mi mzm12106)

Brief Communications

On the Uniqueness of the Optional Decomposition of Semimartingales

V. M. Khametov^a, E. A. Shelemekh^b

^a Moscow Institute of Electronics and Mathematics — Higher School of Economics
^b Central Economics and Mathematics Institute Russian Academy of Sciences, Moscow

Keywords: semimartingale, optional decomposition, Doob uniform decomposition, set of equivalent probability measures.

Received: 26.06.2018

DOI: 10.4213/mzm12106

English version: Mathematical Notes, 2019, 105:3, 478–482

Bibliographic databases:

© Steklov Math. Inst. of RAS, 2024