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Optimal predictable transforms

 

作者: D.P. Kenedy,  

 

期刊: Stochastics  （Taylor Available online 1981）
卷期: Volume 5, issue 4  

页码: 323-334

 

ISSN:0090-9491

 

年代: 1981

 

DOI:10.1080/17442508108833186

 

出版商: Gordon and Breach Science Publishers Inc

 

数据来源: Taylor

 

摘要:

For a stochastic processX= {Xn,n≥0} adapted to a given filtration, the predictable transform ofXby a predictable processV={Vn,n≥0} is defined to bewhen this sum makes sense. The problem of maximisingEV*Xover the classes of predictable processesVfor which either, is considered. It is shown that the form of the solution to the problem depends on whetherp≤1 orP>1.

 

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