Generalized supermartingale deflators under limited information

DOI10.1111/J.1467-9965.2011.00484.XzbMATH Open1282.91118arXiv0904.2913OpenAlexW2133414344MaRDI QIDQ4906519FDOQ4906519

Authors: Constantinos Kardaras 

Publication date: 28 February 2013

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

Abstract: We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integrator. We obtain the equivalence of the boundedness in probability of the set of terminal wealth outcomes (which in turn is equivalent to the weak market viability condition of absence of arbitrage of the first kind) with the existence of at least one strictly positive deflator that makes the deflated wealth processes have a generalized supermartingale property.

Full work available at URL: https://arxiv.org/abs/0904.2913

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zbMATH Keywords

fundamental theorem of asset pricinglimited informationboundedness in probabilityarbitrages of the first kindgeneralized supermartingales

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Cites Work

• A general version of the fundamental theorem of asset pricing
• The numéraire portfolio in semimartingale financial models
• Finitely Additive Probabilities and the Fundamental Theorem of Asset Pricing
• Numéraire-invariant preferences in financial modeling
• The numeraire portfolio for unbounded semimartingale
• No Arbitrage and the Growth Optimal Portfolio

Cited In (9)

• Supermartingale deflators in the absence of a numéraire
• ON THE DYBVIG‐INGERSOLL‐ROSS THEOREM
• Characterisation of \(L^0\)-boundedness for a general set of processes with no strictly positive element
• On the closure in the emery topology of semimartingale wealth-process sets
• A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing
• Large Financial Markets, Discounting, and No Asymptotic Arbitrage
• Market delay and \(G\)-expectations
• No Arbitrage Theory for Bond Markets
• Exploiting arbitrage requires short selling

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