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A note on stochastic integration with respect to optional semimartingales

Dublin Core		PKP Metadata Items	Metadata for this Document
1.	Title	Title of document	A note on stochastic integration with respect to optional semimartingales
2.	Creator	Author's name, affiliation, country	Christoph Kühn; University of Frankfurt
2.	Creator	Author's name, affiliation, country	Maximilian Stroh; University of Frankfurt
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	stochastic integration theory, optional semimartingales, dynamic portfolio choice
3.	Subject	Subject classification	60G48, 60H05, 91B28
4.	Description	Abstract	In this note we discuss the extension of the elementary stochastic Ito-integral w.r.t. an optional semimartingale. The paths of an optional semimartingale possess limits from the left and from the right, but may have double jumps. This leads to quite interesting phenomena in integration theory. We find a mathematically tractable domain of general integrands. The simple integrands are embedded into this domain. Then, we characterize the integral as the unique continuous and linear extension of the elementary integral and show completeness of the space of integrals. Thus our integral possesses desirable properties to model dynamic trading gains in mathematical finance when security price processes follow optional semimartingales.
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2009-05-12
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ecp.ejpecp.org/article/view/1465
10.	Identifier	Digital Object Identifier	10.1214/ECP.v14-1465
11.	Source	Journal/conference title; vol., no. (year)	Electronic Communications in Probability; Vol 14
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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