In discrete time a local martingale is a martingale under an equivalent probability measure (Q1003343): Difference between revisions
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Property / cites work: Equivalent martingale measures and no-arbitrage in stochastic securities market models / rank | |||
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Property / cites work: Local martingales and the fundamental asset pricing theorems in the discrete-time case / rank | |||
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Property / cites work: MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON / rank | |||
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Latest revision as of 03:08, 29 June 2024
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English | In discrete time a local martingale is a martingale under an equivalent probability measure |
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In discrete time a local martingale is a martingale under an equivalent probability measure (English)
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28 February 2009
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The author formulates and proves the following result. Let a discrete-time infinite horizon model with an adapted \(d\)-dimensional process \(S\) be considered. If \(S\) is a local martingale on some stochastic basis, then there exists an equivalent probability measure under which \(S\) is a martingale with respect to the same filtration. The proof uses an approach originating from geometric functional analysis. It is based on separation arguments in an ingeniously chosen countably-normed space where the separating functional happens to be the density of the desired martingale measure. The most involved part of the proof is to verify the conditions of the Krein-Šchmulian theorem.
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martingale
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generalized martingale
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Dalang-Morton-Willinger theorem
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Krein-Šmulian theorem
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free lunch
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