Density of the set of probability measures with the martingale representation property (Q2327953)

It is proved that the set of equivalent probability measures \(\mathbb{Q}\) for which the \(\mathbb{Q}\)-martingale \(S_t^{\mathbb{Q}}= E^{\mathbb{Q}}(\psi|\mathcal{F}_t)\) has the martingale representation property is either empty or dense in \(\mathcal{L}_{\infty}\)-norm, where \(\psi\) is a multi-dimensional random variable. Moreover, the set of points \(x \in U\) for which \(S_t(x)= E^{\mathbb{Q}(x)}(\psi(x)|\mathcal{F}_t)\) does not have the martingale representation property is either equal to \(U\) or has Lebesgue measure zero.