Incompleteness of the bond market with Lévy noise under the physical measure

DOI10.4064/BC104-0-3zbMath1318.91078arXiv1512.03963OpenAlexW2964323025MaRDI QIDQ5245472

Michał Barski

Publication date: 8 April 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.03963

zbMATH Keywords

bond marketcompletenessmartingale measuresrepresentation of local martingalesintegration with compensated jump measures

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Portfolio theory (91G10)

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