Template-Type: ReDIF-Paper 1.0
Title: On the Minimal Martingale Measure and the Foellmer- Schweizer
  	Decomposition
Author-Name: Martin Schweizer
Abstract: We provide three characterizations of the minimal martingale
  	measure P associated to a given d- dimensional semimartingale X. In
  	each case, P is shown to be the unique solution of an optimization
  	problem where one minimizes a certain functional over a suitable
  	class of signed local martingale measures for X. Furthermore, we
  	extend a result of Ansel and Stricker on the Foellmer-Schweizer
  	decomposition to the case where X is continuous, but
  	multidimensional.
Keywords: minimal signed martingale measure, Foellmer-Schweizer
  	decomposition, martingale densities, structure condition,
  	semimartingales
Length: 19 pages
Classification-JEL: G10; C60
Creation-Date: 1994-06
File-URL: http://www.wiwi.uni-bonn.de/bgsepapers/bonsfb/bonsfb284.ps
File-Size: 231 kbytes
Handle: RePEc:bon:bonsfb:284