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A stochastic calculus model of continuous trading: Complete markets. (English) Zbl 0511.60094

MSC:
60K30 Applications of queueing theory (congestion, allocation, storage, traffic, etc.)
60G44 Martingales with continuous parameter
60H10 Stochastic ordinary differential equations (aspects of stochastic analysis)
60H05 Stochastic integrals
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[1] Harrison, J.M.; Pliska, S.R., Martingales and stochastic integrals in the theory of continuous trading, Stochastic process. appl., 11, 3, 215-260, (1981) · Zbl 0482.60097
[2] Jacod, J., Calcul stochastique et problemes de martingales, () · Zbl 0414.60053
[3] Jacod, J.; Yor, M., Etudes des solutions extrémales et representation intégrale des solutions pour certains problèmes de martingales, Z. wahrsch. verw. geb., 38, 83-125, (1977) · Zbl 0346.60032
[4] Stroock, D.W.; Varadhan, S.R.S., Multidimensional diffusion processes, (1979), Springer New York
[5] Yamada, T.; Watanabe, S., On the uniqueness of solutions of stochastic differential equations, J. math., 11, 1, (1971), Kyoto Univ.
[6] Yor, M., Remarques sur la representation des martingales comme intégrales stochastiques, (), 502-517, Lecture Notes in Math.
[7] Yor, M., Sous-espaces denses dans L1 ou H1 et representation des martingales, (), 265-309, Lecture Notes in Math.
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