On the Uniqueness of the Optional Decomposition of Semimartingales

Authors: Khametov V.M.¹, Shelemekh E.A.²
Affiliations:
1. Tikhonov Moscow Institute of Electronics and Mathematics
2. Central Economics and Mathematics Institute of Russian Academy of Sciences
Issue: Vol 105, No 3-4 (2019)
Pages: 478-482
Section: Short Communication
URL: https://journal-vniispk.ru/0001-4346/article/view/151642
DOI: https://doi.org/10.1134/S0001434619030209
ID: 151642

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semimartingale, optional decomposition, Doob uniform decomposition, set of equivalent probability measures

Tikhonov Moscow Institute of Electronics and Mathematics

Author for correspondence.
Email: khametovvm@mail.ru
Russian Federation, Moscow, 101000

Central Economics and Mathematics Institute of Russian Academy of Sciences

Author for correspondence.
Email: letis@mail.ru
Russian Federation, Moscow, 117418

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