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2015 Optional decomposition for continuous semimartingales under arbitrary filtrations
Ioannis Karatzas, Constantinos Kardaras
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Electron. Commun. Probab. 20: 1-10 (2015). DOI: 10.1214/ECP.v20-4090


We present an elementary treatment of the Optional Decomposition Theorem for continuous semimartingales and general filtrations. This treatment does not assume the existence of equivalent local martingale measure(s), only that of strictly positive local martingale deflator(s).


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Ioannis Karatzas. Constantinos Kardaras. "Optional decomposition for continuous semimartingales under arbitrary filtrations." Electron. Commun. Probab. 20 1 - 10, 2015.


Accepted: 14 August 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1327.60102
MathSciNet: MR3384117
Digital Object Identifier: 10.1214/ECP.v20-4090

Primary: 60H05
Secondary: 60H30 , 91B28

Keywords: local martingale deflators , optional decomposition , Semimartingales

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