Incompleteness of the bond market with Lévy noise under the physical measure

Michał Barski. "Incompleteness of the bond market with Lévy noise under the physical measure." Banach Center Publications 104.1 (2015): 61-84. <http://eudml.org/doc/281754>.

@article{MichałBarski2015,
abstract = {The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.},
author = {Michał Barski},
journal = {Banach Center Publications},
keywords = {bond market; completeness; martingale measures; representation of local martingales; integration with compensated jump measures},
language = {eng},
number = {1},
pages = {61-84},
title = {Incompleteness of the bond market with Lévy noise under the physical measure},
url = {http://eudml.org/doc/281754},
volume = {104},
year = {2015},
}

TY - JOUR
AU - Michał Barski
TI - Incompleteness of the bond market with Lévy noise under the physical measure
JO - Banach Center Publications
PY - 2015
VL - 104
IS - 1
SP - 61
EP - 84
AB - The problem of completeness of the forward rate based bond market model driven by a Lévy process under the physical measure is examined. The incompleteness of market in the case when the Lévy measure has a density function is shown. The required elements of the theory of stochastic integration over the compensated jump measure under a martingale measure are presented and the corresponding integral representation of local martingales is proven.
LA - eng
KW - bond market; completeness; martingale measures; representation of local martingales; integration with compensated jump measures
UR - http://eudml.org/doc/281754
ER -