A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance

DOI10.1214/AOP/1039639366MaRDI QIDQ2563937zbMATH OpenOpenAlexFDO

Authors Irene Klein, Walter Schachermayer

Publication date 6 January 1997

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1039639366

zbMATH Keywords

existence of equivalent martingale measuresHalmos-Savage theoremmathematical financeno arbitragestochastic processes

Mathematics Subject Classification ID

Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Sufficiency and information (62B99)

Recommendations

• The theorem of Halmos and Savage under finite additivity
• The mathematics of arbitrage
• Two versions of the fundamental theorem of asset pricing
• Martingales and arbitrage: a new look
• scientific article; zbMATH DE number 796435

Cites work

• A general version of the fundamental theorem of asset pricing
• Application of the Radon-Nikodym Theorem to the Theory of Sufficient Statistics
• Arbitrage and equilibrium in economies with infinitely many commodities
• Arbitrage et lois de martingale. (Arbitrage and martingale laws)
• Asymptotic arbitrage in large financial markets
• scientific article; zbMATH DE number 3669507 (Why is no real title available?)
• scientific article; zbMATH DE number 796446 (Why is no real title available?)
• scientific article; zbMATH DE number 3219970 (Why is no real title available?)
• scientific article; zbMATH DE number 3230708 (Why is no real title available?)
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Martingales and stochastic integrals in the theory of continuous trading
• Mathematical theory of statistics. Statistical experiments and asymptotic decision theory

Cited in

(25)

• Free lunch large financial markets with continuous price processes
• Local prelimit theorems and their applications to finance
• Arbitrage pricing theory and risk-neutral measures
• A one-sided Vysochanskii-Petunin inequality with financial applications
• Asymptotic arbitrage with small transaction costs
• Strong asymptotic arbitrage in the large fractional binary market
• Arbitrage and state price deflators in a general intertemporal framework
• Maximizing expected utility in the arbitrage pricing model
• Critical transaction costs and 1-step asymptotic arbitrage in fractional binary markets
• New existence theorems for quasi-variational inequalities and applications to financial models
• Minimal-variance hedging in large financial markets: random fields approach
• Fundamental theorems of asset pricing for piecewise semimartingales of stochastic dimension
• UTILITY MAXIMIZATION IN A LARGE MARKET
• A note on completeness in large financial markets
• No Arbitrage Theory for Bond Markets
• From small markets to big markets
• scientific article; zbMATH DE number 7606594 (Why is no real title available?)
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
• The theorem of Halmos and Savage under finite additivity
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• Pricing of contingent claims in large markets
• Asymptotic arbitrage and numéraire portfolios in large financial markets
• Asymptotic arbitrage and large deviations
• Market free lunch and large financial markets

This page was built for publication: A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2563937)