Martingale Measures For A Class of Right‐Continuous Processes

DOI10.1111/J.1467-9965.1993.TB00037.XMaRDI QIDQ4371999zbMATH OpenOpenAlexFDO

Authors Peter Lakner

Publication date 5 April 1998

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1993.tb00037.x

zbMATH Keywords

adapted, right-continuous processesexistence of a martingale measureexistence of free lunchsecurities market

Mathematics Subject Classification ID

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Cites work

• Arbitrage and equilibrium in economies with infinitely many commodities
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• scientific article; zbMATH DE number 192908 (Why is no real title available?)
• scientific article; zbMATH DE number 3432917 (Why is no real title available?)
• Martingales and stochastic integrals in the theory of continuous trading
• Multiperiod security markets with differential information

Cited in

(20)

• Dominated families of martingale, supermartingale and quasimartingale laws
• Completeness of securities market models -- an operator point of view
• Profitability in a multiple strategy market
• The existence of absolutely continuous local martingale measures
• Arbitrage and state price deflators in a general intertemporal framework
• Lower and upper bounds of martingale measure densities in continuous time markets
• scientific article; zbMATH DE number 5117138 (Why is no real title available?)
• scientific article; zbMATH DE number 4149273 (Why is no real title available?)
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• A note on the condition of no unbounded profit with bounded risk
• A characterization of the set of local martingale measures
• Almost sure characterization of Martingales
• The Continuous-Time Ehrenfest Process in Term Structure Modelling
• On characterizing the set of martingale measures in discrete time
• On the martingale measures for a real discrete stochastic process
• Right closure of martingale sequences in the sense of the \(A\)-integral
• Arbitrage and control problems in finance. A presentation
• Special issue: Arbitrage and control problems in finance
• Pricing issues with investment flows. Applications to market models with frictions
• Equivalent locally martingale measure for the deflator process on ordered Banach algebra

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