Universal arbitrage aggregator in discrete-time markets under uncertainty (Q261912)

The authors consider a model-independent discrete-time financial market. In this market, they study the family of martingale measures with respect to different notions of arbitrage, generated by a class \(S\) of significant tests called arbitrage ``de la classe \(S\)''. The choice of \(S\) reflects the intrinsic properties of the class of polar sets of martingale measures. If \(S=\{\Omega \}\), the absence of model-independent arbitrage is equivalent to the existence of a martingale measure. If \(S\) are open sets, the absence of open arbitrage is equivalent to the existence of full support martingale measures. The authors consider the notion of market feasibility as well and provide a characterization of it via arbitrage conditions. They also provide a dual representation of open arbitrage in terms of weakly open sets of probability measures and show that the robust feature of an open arbitrage is evident from this dual formulation.