A Characterization of Complete Security Markets On A Brownian Filtration1

Robert Jarrow () and Dilip B. Madan

Mathematical Finance, 1991, vol. 1, issue 3, 31-43

Abstract: This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by Müller (1989).

Date: 1991
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