Integral representation in the theory of continuous trading

DOI10.1080/17442508408833322zbMath0584.60059OpenAlexW2059114182MaRDI QIDQ3707047

Christophe Stricker

Publication date: 1984

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508408833322

zbMATH Keywords

local timelocal martingalerepresentation as stochastic integral

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (3)

On pricing of market-indexed certificates of deposit ⋮ Pathwise stochastic integration and applications to the theory of continuous trading ⋮ Optimal portfolio for a small investor in a market model with discontinuous prices

Cites Work

• Unnamed Item
• Martingales and stochastic integrals in the theory of continuous trading
• La filtration de B + L

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