英文标题：
《Incompleteness of the bond market with L\\\'evy noise under the physical
measure》
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作者：
Micha{\\l} Barski
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最新提交年份：
2015
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英文摘要：
The problem of completeness of the forward rate based bond market model driven by a L\\\'evy process under the physical measure is examined. The incompleteness of market in the case when the L\\\'evy 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 is presented and the corresponding integral representation of local martingales is proven.
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中文摘要：
本文研究了在物理测度下，由列维过程驱动的基于远期利率的债券市场模型的完备性问题。当列维测度具有密度函数时，市场的不完全性被显示出来。给出了鞅测度下补偿跳测度上随机积分理论的必要元素，并证明了相应的局部鞅的积分表示。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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