Martingales and stochastic integrals in the theory of continuous trading

Stochastic Processes and their Applications - Tập 11 Số 3 - Trang 215-260 - 1981
J. Michael Harrison1, Stanley R. Pliska2
1Graduate School of Business, Stanford University, Stanford, CA 94305, U.S.A.
2Northwestern University, Evanston, IL 20601, U.S.A.

Tóm tắt

Từ khóa


Tài liệu tham khảo

Bachelier, 1964, Theory of speculation

Black, 1973, The pricing of options and corporate liabilities, J. Polit. Econom., 81, 637, 10.1086/260062

Bremaud, 1977, Processus ponctuels et martingales: Resultats recents sur la modelisation et la filtrage, Advances in Appl. Probability, 9, 362, 10.2307/1426391

Clarke, 1970, The representation of functionals of Brownian motion by stochastic integrals, Ann. Math. Statist., 41, 1282, 10.1214/aoms/1177696903

Cox, 1976, The valuation of options for alternative stochastic processes, J. Fin. Econom., 3, 145, 10.1016/0304-405X(76)90023-4

Cox, 1979, Option pricing: A simplified approach, J. Fin. Econom., 7, 229, 10.1016/0304-405X(79)90015-1

Davis, 1974, The multiplicity of an increasing family of σ-fields, Ann. Probab., 2, 958, 10.1214/aop/1176996562

Dellacherie, 1975, Integrales stochastique par rapport aux processus de Wiener et de Poisson, 381, 25

Dellacherie, 1975, Integrales stochastique par rapport aux processus de Wiener et de Poisson, 465, 495

Dellacherie, 1980, Un survol de la theorie de l'integrale stochastique, Stochastic Process. Appl., 10, 115, 10.1016/0304-4149(80)90017-4

Dellacherie, 1978

Dudley, 1977, Wiener functionals as Ito integrals, Ann. Probab., 5, 140, 10.1214/aop/1176995898

Girsanov, 1960, On transforming a certain class of stochastic processes by absolutely continuous substitution of measures, Theory Probab. Appl., 5, 285, 10.1137/1105027

Harrison, 1979, Martingales and arbitrage in multiperiod securities markets, J. Econom. Theory, 20, 381, 10.1016/0022-0531(79)90043-7

Ito, 1951, Multiple Wiener integral, J. Math. Soc. Japan, 3, 158, 10.2969/jmsj/00310157

Jacod, 1975, Multivariate point processes: Predictable projection, Radon-Nikodym derivative, representation of martingales, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 31, 235, 10.1007/BF00536010

Jacod, 1976, Un theorème de representation pour les martingales discontinues, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 35, 1, 10.1007/BF00532597

Jacod, 1977, A general theorem of representation for martingales, Vol. 31, 37

Jacod, 1979, Calcul Stochastique et Problèmes de Martingales, 714

Jacod, 1977, Etudes des solutions extremales et representation integrale des solutions pour certains problèmes de martingales, Z. Wahrscheinlichkeitstheorie und Verw. Gebiete, 83, 10.1007/BF00533303

Kreps, 1979, Multiperiod securities and the efficient allocation of risk: A comment on the Black-Scholes option pricing model, U-NBER Conference on the Economics of Information and Uncertainty

Kreps, 1979, Three essays on capital markets

D.M. Kreps, Arbitrage and equilibrium in economies with infinitely many commodities, J. Math. Econom., to appear.

Kunita, 1967, On square integrable martingales, Nagoya Math. J., 30, 209, 10.1017/S0027763000012484

Liptser, 1977, Vol. I

Magill, 1976, Portfolio selection with transaction costs, J. Econom. Theory, 13, 245, 10.1016/0022-0531(76)90018-1

Merton, 1969, Lifetime portfolio selection under uncertainty, the continuous-time case, Rev. Econom. Stud. LI, 247, 10.2307/1926560

Merton, 1971, Optimum consumption and portfolio rules in a continuous-time model, J. Econom. Theory, 3, 373, 10.1016/0022-0531(71)90038-X

Merton, 1973, Theory of rational option pricing, Bell J. Econom. Management Sci., 4, 141, 10.2307/3003143

Merton, 1976, Option pricing when underlying stock returns are discontinuous, J. Fin. Econom., 3, 125, 10.1016/0304-405X(76)90022-2

Merton, 1977, On the pricing of contingent claims and the Modigliani-Miller theorem, J. Fin. Econom., 5, 241, 10.1016/0304-405X(77)90020-4

Metivier, 1980

Meyer, 1976, Un cours sur les integrales stochastiques, 511, 245

Meyer, 1979, Introduction au calcul differentiel stochastique, 91

Samuelson, 1965, Rational theory of warrant pricing, Ind. Management Rev., 6, 13

Samuelson, 1973, Mathematics of speculative price, SIAM Rev., xx, 1, 10.1137/1015001

Sharpe, 1978

Smith, 1976, Option pricing: A review, J. Fin. Econom., 3, 3, 10.1016/0304-405X(76)90019-2

Williams, 1979, Vol. 1

Yor, 1978, Sous-espaces denses dans L1 ou H1 et representation des martingales, 649, 265