In discrete time a local martingale is a martingale under an equivalent probability measure
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Publication:1003343
DOI10.1007/s00780-008-0063-yzbMath1164.60031MaRDI QIDQ1003343
Publication date: 28 February 2009
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-008-0063-y
martingale; free lunch; generalized martingale; Krein-Šmulian theorem; Dalang-Morton-Willinger theorem
60G42: Martingales with discrete parameter
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Cites Work