Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
Let Q and P be equivalent probability measures and let ψ be a J-dimensional vector of random variables such that dQ/dP and ψ are defined in terms of a weak solution X to a d-dimensional stochastic differential equation. Motivated by the problem of endogenous completeness in financial economics we pr...
| Main Authors: | , |
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| 格式: | Journal article |
| 語言: | English |
| 出版: |
Elsevier
2013
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