3 papers
math.PR2019
A Note on Absolutely Continuous Processes
Lars Tyge Nielsen
Every adapted absolutely continuous process has a predictable density. The set of adapted absolutely continuous processes equals the set of time integrals of progressive or predict…
q-fin.MF2019
Instantaneous Arbitrage and the CAPM
Lars Tyge Nielsen
This paper studies the concept of instantaneous arbitrage in continuous time and its relation to the instantaneous CAPM. Absence of instantaneous arbitrage is equivalent to the exi…
math.PR2018
Characterization of the Ito Integral
Lars Tyge Nielsen
This paper provides an existence-and-uniqueness theorem characterizing the stochastic integral with respect to a Wiener process. The integral is represented as a mapping from the s…