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On correlation calculus for multivariate martingales

Author

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  • Dzhaparidze, Kacha
  • Spreij, Peter

Abstract

In this paper the correlation between two multivariate martingales is studied. This correlation can be expressed in a nondecreasing process, that remains zero in the case of linear dependence. A key result is an integral representation for this process.

Suggested Citation

  • Dzhaparidze, Kacha & Spreij, Peter, 1993. "On correlation calculus for multivariate martingales," Stochastic Processes and their Applications, Elsevier, vol. 46(2), pages 283-299, June.
    • Handle: RePEc:eee:spapps:v:46:y:1993:i:2:p:283-299
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    Cited by:

    1. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.
    2. Claudio Fontana, 2013. "No-arbitrage conditions and absolutely continuous changes of measure," Papers 1312.4296, arXiv.org, revised Mar 2014.
    3. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.

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