4 papers
A Counterexample in Ito Integration Theory
Lars Tyge Nielsen
Ito's Lemma implies that if is a Wiener process and is a twice continuously differentiable function, then the process is the sum of a time integral and an Ito integr…
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…
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…
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…