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In this paper, we consider the integral of a stochastic process with respect of a sequence of square integrable semimartingales. By this integrals, we construct a reproducing kernel Hilbert space and study the correspondence between this space with the concepts of arbitrage and viability in mathematical finance.
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참고문헌 (28)
참고문헌 신청
M. Al-Smadi / 2018 / Simpli_ed iterative reproducing kernel method for handling time-fractional BVPs with error estimation / Ain Shams Eng J 9:2517~2525
N. Aronszajn / 1950 / Theory of reproducing kernels / Trans. Amer. Math. Soc 68:337~404
A. Berlinet / 2004 / Reproducing kernel Hilbert spaces in probability and statistics / Springer Science, Business, Media New York
T. Choulli / 1996 / Deux application de la d_ecomposotion de Galtchouk-Kunita-Watanabe / S_eminaire De Probabilit_es 30:12~23
T. Choulli / 2015 / How non-arbitrage, viability and num_eraire portfolio are related / Finance Stoch 19(4):719~741
N. Aronszajn / 1950 / Theory of reproducing kernels / Trans. Amer. Math. Soc 68:337~404
A. Berlinet / 2004 / Reproducing kernel Hilbert spaces in probability and statistics / Springer Science, Business, Media New York
T. Choulli / 1996 / Deux application de la d_ecomposotion de Galtchouk-Kunita-Watanabe / S_eminaire De Probabilit_es 30:12~23
T. Choulli / 2015 / How non-arbitrage, viability and num_eraire portfolio are related / Finance Stoch 19(4):719~741
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