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Stochastics
An International Journal of Probability and Stochastic Processes
Volume 84, 2012 - Issue 5-6: The Mark H.A. Davis festschrift: stochastics, control and finance
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Original Articles

A simple proof of Kramkov's result on uniform supermartingale decompositions

Pages 599-602 | Received 31 Aug 2010, Accepted 07 Mar 2011, Published online: 03 Oct 2011

References

  • Benes , V. 1971 . Existence of optimal stochastic control laws . SIAM J. Control Optim. , 9 : 446 – 472 .
  • Jacod , J. 1979 . Calcul Stochastique et Problèmes de Martingales , LNM 714 Berlin : Springer .
  • Jacod , J. and Shiryaev , A. 2003 . Limit Theorems for Stochastic Processes , 2nd ed. , Berlin : Springer .
  • Kramkov , D. 1996 . Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets . Prob. Theory Relat. Fields , 105 : 459 – 479 .
  • Riedel , F. 2004 . Dynamic Coherent Risk Measures . Stoch. Proc. Appl. , 112 : 185 – 200 .

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