A unifying view on some problems in probability and statistics

DOI10.1007/S10260-014-0272-9MaRDI QIDQ2066865zbMATH OpenOpenAlexFDO

Authors Patrizia Berti, Luca Pratelli, Pietro Rigo

Publication date 14 January 2022

Published in Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10260-014-0272-9

zbMATH Keywords

compatibility of conditional distributionsde Finetti's coherence principleequivalent martingale measureequivalent probability measure with given marginalsfinitely additive probabilityfundamental theorem of asset pricing

Mathematics Subject Classification ID

Axioms; other general questions in probability (60A05) Probabilistic measure theory (60A10) Foundations of stochastic processes (60G05)

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Cites work

• A note on lower bounds of martingale measure densities
• Compatibility results for conditional distributions
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Finitely additive equivalent martingale measures
• scientific article; zbMATH DE number 816114 (Why is no real title available?)
• On finitely additive priors, coherence, and extended admissibility
• On the existence of inferences which are consistent with a given model
• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
• Sufficient conditions for the existence of disintegrations
• The Existence of Probability Measures with Given Marginals
• The Kreps--Yan theorem for \(L^\infty\)
• The mathematics of arbitrage
• Yan theorem in \(L^{\infty}\) with applications to asset pricing

Cited in

(6)

• Equivalent or absolutely continuous probability measures with given marginals
• On linear aggregation of infinitely many finitely additive probability measures
• Finitely additive mixtures of probability measures
• Annihilating probability measures under constraints
• scientific article; zbMATH DE number 5356431 (Why is no real title available?)
• Unifying Probability

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