## On the minimal martingale measure and the Föllmer-Schweizer decomposition.(English)Zbl 0837.60042

The concept of equivalent martingale measure for a semimartingale $$X$$ is useful in problems related to the absence of arbitrage in stochastic finance. It has first been studied by Föllmer and Schweizer when $$X$$ is a real process; in the paper under review, the multidimensional case is investigated. Three characterizations of the minimal martingale measure associated with $$X$$ are given, and a previous result of J.-P. Ansel and C. Stricker [Ann. Inst. Henri Poincaré, Probab. Stat. 28, No. 3, 375-392 (1992; Zbl 0772.60033)] concerning the so-called Föllmer- Schweizer decomposition is extended to the multidimensional case.

### MSC:

 60G44 Martingales with continuous parameter

Zbl 0772.60033
Full Text:

### References:

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