Abstract
In a previous paper we provided a condition under which the componentwise and the vector stochastic integration with respect to a given continuous ℝd-local martingale are the same notions. Here, we improve this result, taking more general volatility matrices as the previous ones which were non-singular.
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Chatelain, M., Stricker, C. (1995). Componentwise and Vector Stochastic Integration with Respect to Certain Multi-Dimensional Continuous Local Martingales. In: Bolthausen, E., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 36. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-7026-9_22
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DOI: https://doi.org/10.1007/978-3-0348-7026-9_22
Publisher Name: Birkhäuser, Basel
Print ISBN: 978-3-0348-7028-3
Online ISBN: 978-3-0348-7026-9
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