On the Minimal Martingale Measure and the Foellmer- Schweizer Decomposition

We provide three characterizations of the minimal martingale measure P associated to a given d- dimensional semimartingale X. In each case, P is shown to be the unique solution of an optimization problem where one minimizes a certain functional over a suitable class of signed local martingale measures for X. Furthermore, we extend a result of Ansel and Stricker on the Foellmer-Schweizer decomposition to the case where X is continuous, but multidimensional.

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Year of publication:	1994-06
Authors:	Schweizer, Martin
Institutions:	University of Bonn, Germany
Subject:	minimal signed martingale measure \| Foellmer-Schweizer decomposition \| martingale densities \| structure condition \| semimartingales

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Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	G10 - General Financial Markets. General ; C60 - Mathematical Methods and Programming. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004968216