Local martingales in discrete time

DOI10.1214/18-ECP133zbMath1390.60158arXiv1701.04025MaRDI QIDQ1748587

Vilmos Prokaj, Johannes Ruf

Publication date: 11 May 2018

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.04025

zbMATH Keywords

DMW theoremlocal and generalized martingale in discrete time

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Generalizations of martingales (60G48)

Related Items (1)

Enlargement of Filtration in Discrete Time

Cites Work

• Unnamed Item
• Unnamed Item
• Markets with transaction costs. Mathematical theory.
• In discrete time a local martingale is a martingale under an equivalent probability measure
• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• The mathematics of arbitrage
• Martingales and stochastic integrals. I
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Equivalent martingale measures and no-arbitrage
• Local and True Martingales in Discrete Time

This page was built for publication: Local martingales in discrete time