We introduce a theory of stochastic integration with respect to a family of semimartingales depending on a continuous parameter, as a mathematical background to the theory of bond markets. We apply our results to the problem of super-replication and utility maximization from terminal wealth in a bond market. Finally, we compare our approach to those already existing in literature.
Publié le : 2005-11-14
Classification:
Infinite-dimensional stochastic integration,
convergence of semimartingales,
bond market,
60H05,
60G44,
91B70
@article{1133965779,
author = {De Donno, M. and Pratelli, M.},
title = {A theory of stochastic integration for bond markets},
journal = {Ann. Appl. Probab.},
volume = {15},
number = {1A},
year = {2005},
pages = { 2773-2791},
language = {en},
url = {http://dml.mathdoc.fr/item/1133965779}
}
De Donno, M.; Pratelli, M. A theory of stochastic integration for bond markets. Ann. Appl. Probab., Tome 15 (2005) no. 1A, pp. 2773-2791. http://gdmltest.u-ga.fr/item/1133965779/