ON COMPONENTWISE and VECTOR STOCHASTIC INTEGRATION |
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| Authors: | Michel Chatelain Christophe Stricker |
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| Institution: | Universitéde Franche-Comté, URA CNRS 741, 25030 Besancon Cedex, France |
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| Abstract: | 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. |
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| Keywords: | predictable stopping times and processes equivalent martingale measures complete markets |
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