Publication:777918

DOI10.1142/S0219024905003074zbMath1442.28002arXiv1006.2260OpenAlexW2902248420WikidataQ127374329 ScholiaQ127374329MaRDI QIDQ777918

Gianluca Cassese

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance, International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Abstract: We provide conditions under which a modular function defined on a semilattice $X$ and with values in a commutative group is homomorphic to a modular function on a lattice $L$ for any embedding $Xhookrightarrow L$.

Full work available at URL: https://arxiv.org/abs/1006.2260

zbMATH Keywords

latticemartingalesextension of measuresarbitragefundamental theorem of asset pricingfinitely additive measuresmodular set functionsnon-additive integralBubbles

Mathematics Subject Classification ID

Classes of sets (Borel fields, (sigma)-rings, etc.), measurable sets, Suslin sets, analytic sets (28A05) Foundations of stochastic processes (60G05)

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Related Items (4)

ASSET PRICING WITH NO EXOGENOUS PROBABILITY MEASURE ⋮ On the positive fundamental value of money with short-sale constraints ⋮ A special issue on the mathematics of subjective probability ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

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