ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION

Michel Chatelain and Christophe Stricker

Mathematical Finance, 1994, vol. 4, issue 1, 57-65

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.

Date: 1994
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