XIONG, DEWEN; KOHLMANN, MICHAEL - In: International Journal of Theoretical and Applied … 14 (2011) 05, pp. 723-755
We construct a bond-stock market composed of d stocks and many bonds with jumps driven by general marked point process as well as by an ℝn-valued Wiener process. By composing these tools we introduce the concept of a compatible bond-stock market and give a necessary and sufficient condition...