Local martingales in discrete time (Q1748587): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Local martingales in discrete time	scientific article

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scholarly article

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Local martingales in discrete time (English)

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zbMATH Open document ID

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10.1214/18-ECP133

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Electronic Communications in Probability

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publication date

11 May 2018

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full work available at URL

https://arxiv.org/abs/1701.04025

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https://projecteuclid.org/euclid.ecp/1525312855

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

DMW theorem

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local and generalized martingale in discrete time

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MaRDI profile type

MaRDI publication profile

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Equivalent martingale measures and no-arbitrage in stochastic securities market models

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The mathematics of arbitrage

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In discrete time a local martingale is a martingale under an equivalent probability measure

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Markets with transaction costs. Mathematical theory.

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Martingales and stochastic integrals. I

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Local and True Martingales in Discrete Time

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Equivalent martingale measures and no-arbitrage

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A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time

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MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

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Mathematics(1 entry)

mardi Publication:1748587

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