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ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION
Author(s) -
Chatelain Michel,
Stricker Christophe
Publication year - 1994
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1994.tb00049.x
Subject(s) - martingale (probability theory) , mathematics , equivalence (formal languages) , completeness (order theory) , local martingale , mathematical economics , pure mathematics , mathematical analysis
We give a condition under which the componentwise stochastic integration with respect to a given R d ‐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.