Pathwise stochastic integration and applications to the theory of continuous trading (Q912481)
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scientific article; zbMATH DE number 4145052
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| English | Pathwise stochastic integration and applications to the theory of continuous trading |
scientific article; zbMATH DE number 4145052 |
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Pathwise stochastic integration and applications to the theory of continuous trading (English)
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1989
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For a d-dimensional continuous martingale defined on a finite time interval having the predictable representation property (also known as ``completeness''), the authors express its stochastic integral of a predictable process as an a.s. limit of discrete martingale transforms. This result is then used to help to justify the continuous time theory of securities trading in stochastic finance theory.
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stochastic integral
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predictable process
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martingale transforms
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stochastic finance theory
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0.8088160157203674
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0.7823019027709961
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