ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

DOI10.1111/j.1467-9965.1994.tb00049.xzbMath0893.90011OpenAlexW2096600300MaRDI QIDQ4372023

Michel Chatelain, Christophe 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)

Related Items (4)

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 ⋮ Enlargement of filtration and predictable representation property for semi-martingales ⋮ Defaultable game options in a hazard process model

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• On complete securities markets and the martingale property of securities prices
• A stochastic calculus model of continuous trading: Complete markets

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