Monat, Pascale; Stricker, Christophe Föllmer-Schweizer decomposition and mean-variance hedging for general claims. (English) Zbl 0830.60040 Ann. Probab. 23, No. 2, 605-628 (1995). Because of some motivations in financial mathematics, it is interesting to look for the decomposition of a square integrable \({\mathcal F}_T\)- measurable random variable into the sum of an \({\mathcal F}_0\)-measurable random variable, a stochastic integral with respect to some given special semimartingale \(X\), and a martingale which is orthogonal to every stochastic integral with respect to the martingale part of \(X\). This is the so-called Föllmer-Schweizer decomposition. The authors prove existence and uniqueness of such a decomposition under the assumption that the mean-variance tradeoff process of \(X\) is uniformly bounded; moreover, this decomposition is shown to be continuous with respect to the quadratic norm. Reviewer: D.Lepingle (Orléans) Cited in 31 Documents MSC: 60G48 Generalizations of martingales 60H05 Stochastic integrals 91G80 Financial applications of other theories Keywords:semimartingales; orthogonal martingales; financial mathematics; Föllmer-Schweizer decomposition PDFBibTeX XMLCite \textit{P. Monat} and \textit{C. Stricker}, Ann. Probab. 23, No. 2, 605--628 (1995; Zbl 0830.60040) Full Text: DOI