Dynamic bid-ask pricing under Dempster-Shafer uncertainty (Q6170042)

The paper introduces time-homogeneous Markov multiplicative processes under Dempster-Shafer uncertainty (namely, DS-multiplicative binomial processes) and defines the induced conditional Choquet expectation operator and considers a market composed by a frictionless risk-free bond and a non-dividend paying stock with frictions, and proves an analog of the classical theorem of change of measure relying on the notion of equivalent one-step Choquet martingale belief function. It shows that the dynamic lower pricing rule though not consistent with the classical one-step no-arbitrage condition, is consistent with a generalized one-step no-arbitrage condition that relies on the notion of partially resolving uncertainty due to Jaffray. The paper is well-organized.