G-Doob-Meyer Decomposition and Its Applications in Bid-Ask Pricing for Derivatives under Knightian Uncertainty
نویسندگان
چکیده
منابع مشابه
Quantum Stochastic Integrals and Doob-meyer Decomposition
Abstract. We show that for a quantum L-martingale (X(t)), p > 2, there exists a Doob-Meyer decomposition of the submartingale (|X(t)|). A noncommutative counterpart of a classical process continuous with probability one is introduced, and a quantum stochastic integral of such a process with respect to an L-martingale, p > 2, is constructed. Using this construction, the uniqueness of the Doob-Me...
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ژورنال
عنوان ژورنال: Journal of Applied Mathematics
سال: 2015
ISSN: 1110-757X,1687-0042
DOI: 10.1155/2015/910809