Local martingales in discrete time

DOI10.1214/18-ECP133MaRDI QIDQ1748587zbMATH OpenFDO

Authors 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, https://projecteuclid.org/euclid.ecp/1525312855

zbMATH Keywords

DMW theoremlocal and generalized martingale in discrete time

Mathematics Subject Classification ID

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

Abstract: For any discrete-time $P$--local martingale $S$ there exists a probability measure $QsimP$ such that $S$ is a $Q$--martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by Chris Rogers, used to prove a version of the fundamental theorem of asset pricing in discrete time. This proof also yields that, for any $varepsilon>0$, the measure $Q$ can be chosen so that $fracdQdPleq1+varepsilon$.

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Cited in

(10)

• scientific article; zbMATH DE number 1533215 (Why is no real title available?)
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• Local and True Martingales in Discrete Time
• Locally Feller processes and martingale local problems
• scientific article; zbMATH DE number 4188896 (Why is no real title available?)
• A conditional version of the second fundamental theorem of asset pricing in discrete time
• Enlargement of Filtration in Discrete Time
• Sticky processes, local and true martingales
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• Strict local martingales and the Khasminskii test for explosions

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