ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

DOI10.1111/J.1467-9965.1994.TB00049.XMaRDI QIDQ4372023zbMATH OpenOpenAlexFDO

Authors Michel Chatelain, Ch. Stricker

Publication date 22 July 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1994.tb00049.x

zbMATH Keywords

complete marketsequivalent martingale measurespredictable stopping times and processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40)

Recommendations

• scientific article; zbMATH DE number 797364
• scientific article; zbMATH DE number 1897408
• Remarks on the stochastic integral
• Pathwise stochastic integration and applications to the theory of continuous trading

Cites work

• A stochastic calculus model of continuous trading: Complete markets
• scientific article; zbMATH DE number 48952 (Why is no real title available?)
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• On complete securities markets and the martingale property of securities prices

Cited in

(9)

• Defaultable game options in a hazard process model
• Enlargement of filtration and predictable representation property for semi-martingales
• The vector stochastic integral in the first fundamental theorem of the mathematics of finance
• scientific article; zbMATH DE number 1897408 (Why is no real title available?)
• scientific article; zbMATH DE number 797364 (Why is no real title available?)
• Martingale representations in progressive enlargement by the reference filtration of a semi-martingale: a note on the multidimensional case
• Martingale representations in progressive enlargement by multivariate point processes
• The Jacod-Yor theorem for sigma martingales and the second fundamental
• Martingale representation on enlarged filtrations: the role of the accessible jump times

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