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Martingales and stochastic integrals in the theory of continuous trading

19812,874 citationsJournal Article

Authors

J. Michael Harrison · Stanford University

Stanley R. Pliska · Northwestern University

Topics & Keywords

Stochastic processes and financial applications Risk and Portfolio Optimization Financial Markets and Investment Strategies

Publication Details

Published in: Stochastic Processes and their Applications

Volume 11, Issue 3, pp. 215-260

DOI: 10.1016/0304-4149(81)90026-0

Field-Weighted Citation Impact: 9.87

Martingales and stochastic integrals in the theory of continuous trading | Researchclopedia