Kramkov's optional decomposition theorem
id:
kramkov-s-optional-decomposition-theorem-291-7300900
title:
Kramkov's optional decomposition theorem
text:
In probability theory, Kramkov's optional decomposition theorem is a mathematical theorem on the decomposition of a positive supermartingale V with respect to a family of equivalent martingale measures into the form where C is an adapted process. The theorem is of particular interest for financial mathematics, where the interpretation is: V is the wealth process of a trader, is the gain/loss and C the consumption process. The theorem was proven in 1994 by Russian mathematician Dmitry Kramkov. Th
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https://en.wikipedia.org/wiki/Kramkov%27s_optional_decomposition_theorem
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date modified:
2023-08-12T09:38:18Z
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