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THE EXISTENCE OF DOMINATING LOCAL MARTINGALE MEASURES

Please always quote using this URN:urn:nbn:de:0296-matheon-10492
  • We prove that for locally bounded processes, the absence of arbitrage of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to results from the theory of filtration enlargements.

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Author:Peter Imkeller, Nicolas Perkowski
URN:urn:nbn:de:0296-matheon-10492
Referee:Dirk Becherer
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2012/08/01
Release Date:2012/08/01
Institute:Humboldt-Universität zu Berlin
MSC-Classification:46-XX FUNCTIONAL ANALYSIS (For manifolds modeled on topological linear spaces, see 57Nxx, 58Bxx) / 46Nxx Miscellaneous applications of functional analysis [See also 47Nxx] / 46N10 Applications in optimization, convex analysis, mathematical programming, economics
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Gxx Stochastic processes / 60G44 Martingales with continuous parameter
60-XX PROBABILITY THEORY AND STOCHASTIC PROCESSES (For additional applications, see 11Kxx, 62-XX, 90-XX, 91-XX, 92-XX, 93-XX, 94-XX) / 60Hxx Stochastic analysis [See also 58J65] / 60H05 Stochastic integrals
91-XX GAME THEORY, ECONOMICS, SOCIAL AND BEHAVIORAL SCIENCES / 91Gxx Mathematical finance / 91G10 Portfolio theory
Preprint Number:975
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