A theorem on martingale selection for relatively open convex set-valued random sequences

DOI10.1134/S0001434607030315zbMath1133.60008OpenAlexW2039235929MaRDI QIDQ2473737

Dmitry B. Rokhlin

Publication date: 4 March 2008

Published in: Mathematical Notes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1134/s0001434607030315

zbMATH Keywords

Castaing representationmarket modelarbitrage theorypricing processmartingale selectionmeasurable set-valued mapset-valued random sequence

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Geometric probability and stochastic geometry (60D05)

Related Items (2)

FTAP in finite discrete time with transaction costs by utility maximization ⋮ Consistent price systems and arbitrage opportunities of~the~second kind in models with transaction costs

Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Non-arbitrage criteria for financial markets with efficient friction
• On the closedness of sums of convex cones in \(L^0\) and the robust no-arbitrage property
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• Survey of Measurable Selection Theorems
• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time

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