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Martingale Regularity.pdf

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Preview of Martingale Regularity
🔗 Source: dornsife.usc.edu
📊 Size: 180 KB
👤 Author: John L. Spiegelman (Jenkintown) 4505 2000 Mar 22 09:24:18
⬇️ Downloads: 54

Summary

H = α + ∫[0,T] ξs dXs + NT, where N is an L2 martingale orthogonal to X, and sufficient conditions are given for ξ to have regular paths, meaning left-continuous with right limits, which is useful for approximating the hedging strategy and converging to the optimal portfolio.

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H = α + ∫[0,T] ξs dXs + NT, where N is an L2 martingale orthogonal to X, and sufficient conditions are given for ξ to have regular paths, meaning...

Technical Information

  • File Format: PDF
  • File Size: 180 KB
  • Pages: 24
  • Language: EN
  • Author: John L. Spiegelman (Jenkintown) 4505 2000 Mar 22 09:24:18
  • Total Downloads: 54
  • Last Updated: 3 hours ago

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This PDF document about Martingale Regularity provides comprehensive information and guidance. Whether you're a beginner or advanced user, this resource offers valuable insights into Martingale Regularity.

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