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.
@article{bwmeta1.element.bwnjournal-article-doi-10_4064-bc104-0-3,
author = {Micha\l\ Barski},
title = {Incompleteness of the bond market with L\'evy noise under the physical measure},
journal = {Banach Center Publications},
volume = {104},
year = {2015},
pages = {61-84},
zbl = {1318.91078},
language = {en},
url = {http://dml.mathdoc.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc104-0-3}
}
Michał Barski. Incompleteness of the bond market with Lévy noise under the physical measure. Banach Center Publications, Tome 104 (2015) pp. 61-84. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-bc104-0-3/