The Föllmer-Schweizer decomposition: Comparison and description
This paper proposes two main contributions concerning the Föllmer-Schweizer decomposition (called hereafter the FS-decomposition). First we completely elaborate the relationship between this decomposition and the Galtchouk-Kunita-Watanabe decomposition under the minimal martingale measure. The difference between these two decompositions is highlighted in a very practical example, and the martingale tools that enhance this difference are illustrated in the semimartingale framework as well. The second main contribution focuses on the description of the FS-decomposition using the predictable characteristics.
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Volume (Year): 120 (2010)
Issue (Month): 6 (June)
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