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MR1348191 90A09 (60G40 60G44)
Shiryaev, A. N.; Kabanov, Yu. M.; Kramkov, D. O.; Mel′nikov, A. V. Toward a theory of pricing options of European and American types. II. Continuous time. (Russian) ; translated from Teor. Veroyatnost. i Primenen. 39 (1994), no. 1, 80--129 Theory Probab. Appl. 39 (1994), no. 1, 61–102 (1995)
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