The analysis of finite security markets using martingales

DOI10.2307/1427371zbMath0618.60047OpenAlexW1995212834MaRDI QIDQ4727935

Murad S. Taqqu, Walter Willinger

Publication date: 1987

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://hdl.handle.net/1813/8521

zbMATH Keywords

change of measureextremal measurescomplete marketseconomic equilibriummartingale propertyfinite security markets

Mathematics Subject Classification ID

Linear programming (90C05) Martingales with continuous parameter (60G44) Stochastic processes (60G99) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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