Local martingales in discrete time

DOI10.1214/18-ECP133zbMATH Open1390.60158arXiv1701.04025MaRDI QIDQ1748587FDOQ1748587

Authors: Vilmos Prokaj, Johannes Ruf 

Publication date: 11 May 2018

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

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 $fracdQdPleq1+varepsilon$.

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

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zbMATH Keywords

DMW theoremlocal and generalized martingale in discrete time

Mathematics Subject Classification ID

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

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Cited In (10)

• Locally Feller processes and martingale local problems
• Sticky processes, local and true martingales
• A conditional version of the second fundamental theorem of asset pricing in discrete time
• Enlargement of Filtration in Discrete Time
• Testing for continuous local martingales using the crossing tree
• Strict local martingales and the Khasminskii test for explosions
• In discrete time a local martingale is a martingale under an equivalent probability measure
• Title not available (Why is that?)
• Local and True Martingales in Discrete Time
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