Showing papers by "Martin Schweizer published in 1990"
TL;DR: In this article, the orthogonality of martingales is characterized as a property of risk-minimality under certain perturbations by stochastic integrals, where the integrator can be either a martingale or a semimartingale.
Abstract: We characterize the orthogonality of martingales as a property of risk-minimality under certain perturbations by stochastic integrals. The integrator can be either a martingale or a semimartingale; in the latter case, the finite variation part must be continuous. This characterization is based on semimartingale differentiation techniques
49 citations