• 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