DocumentCode
1664846
Title
Martingale representation in continuous trading
Author
Elliott, Robert J. ; Tsoi, Allanus H.
Author_Institution
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Volume
3
fYear
1994
Firstpage
2807
Abstract
For every consumption rate process c there is a portfolio process π such that (π, c) is admissible. The proof of this result involves the stochastic integral representation of a martingale related to c. In the Markov case the authors give a simple formula for the integrand in the martingale representation under an equivalent measure. In turn, this gives an explicit expression for the portfolio process π
Keywords
finance; investment; stochastic processes; Markov; consumption rate process; continuous trading; martingale representation; portfolio process; stochastic integral representation; Books; Calculus; Differential equations; Discrete wavelet transforms; Filtration; Finance; Jacobian matrices; Partial differential equations; Portfolios; Stochastic processes;
fLanguage
English
Publisher
ieee
Conference_Titel
Decision and Control, 1994., Proceedings of the 33rd IEEE Conference on
Conference_Location
Lake Buena Vista, FL
Print_ISBN
0-7803-1968-0
Type
conf
DOI
10.1109/CDC.1994.411374
Filename
411374
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