F. Delbaen, W. Schachermayer
Bernoulli, Vol. 2 (1996), No. 1, pp. 81-105.
We prove that for continuous stochastic processes $S$ based on $(\Om,
\Cal F, \Pr)$ for which there is an equivalent martingale measure $\Q^0$
with square-integrable density $d\Q^0/d\Pr$ we have that the so-called
"variance optimal" martingale measure $\Qo$ for which the density
$d\Qo/d\Pr$ has minimal $L^2(\Pr)$-norm is automatically equivalent to
The result is then applied to an approximation problem arising in Mathematical Finance.
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