Advertisement

On Supermartingale Problems

  • Shigeo KusuokaEmail author
Chapter
Part of the Advances in Mathematical Economics book series (MATHECON, volume 21)

Abstract

In the present paper the author introduces a new notion, supermartingale problems, to describe a family of probability measures on path space, and shows some results on existence and stability.

Keywords

Martingale problem Supermartingale Stochastic differential equation 

References

  1. 1.
    Boyle PP, Vorst T (1992) Option replication in discrete time with transaction costs. J Financ 47:271–293CrossRefGoogle Scholar
  2. 2.
    Ikeda N, Watanabe S (1989) Stochastic differential equations and difusion processes, 2nd edn. Kodansha North-HollandGoogle Scholar
  3. 3.
    Kaneko H, Nakao S (1988) A note on approximation for stochastic differential equations. Séminare de Probabilités, XXII, Lecture notes in mathematics, vol 1321. Springer, Berlin, pp 155–162Google Scholar
  4. 4.
    Kusuoka S (1995) Limit theorem on option replication cost with transaction costs. Ann Appl Prob 5:198–221MathSciNetCrossRefzbMATHGoogle Scholar

Copyright information

© Springer Nature Singapore Pte Ltd. 2017

Authors and Affiliations

  1. 1.Graduate School of Mathematical SciencesThe University of TokyoMeguro-kuJapan

Personalised recommendations