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ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

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  • Michel Chatelain
  • Christophe Stricker

Abstract

We give a condition under which the componentwise stochastic integration with respect to a given Rd‐valued continuous local martingale coincides with the more general vector stochastic integration defined by Jacod (1979). We then provide a result on the equivalence between the vector and the component completeness of a financial market in a special case.

Suggested Citation

  • Michel Chatelain & Christophe Stricker, 1994. "ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION," Mathematical Finance, Wiley Blackwell, vol. 4(1), pages 57-65, January.
    • Handle: RePEc:bla:mathfi:v:4:y:1994:i:1:p:57-65
    DOI: 10.1111/j.1467-9965.1994.tb00049.x
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    1. repec:dau:papers:123456789/5374 is not listed on IDEAS
    2. Dilip B. Madan & Frank Milne, 1994. "Contingent Claims Valued And Hedged By Pricing And Investing In A Basis," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 223-245, July.
    3. Hardy Hulley & Martin Schweizer, 2010. "M6 - On Minimal Market Models and Minimal Martingale Measures," Research Paper Series 280, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Martin HERDEGEN & Martin SCHWEIZER, 2016. "Economically Consistent Valuations and Put-Call Parity," Swiss Finance Institute Research Paper Series 16-02, Swiss Finance Institute.
    5. Martin Herdegen & Martin Schweizer, 2018. "Semi‐efficient valuations and put‐call parity," Mathematical Finance, Wiley Blackwell, vol. 28(4), pages 1061-1106, October.
    6. Antonella Calzolari & Barbara Torti, 2022. "A Note on the Strong Predictable Representation Property and Enlargement of Filtration," Mathematics, MDPI, vol. 10(10), pages 1-12, May.

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