On characterizing the set of martingale measures in discrete time

DOI10.1142/S0219493715500173zbMath1316.60058OpenAlexW1984481648MaRDI QIDQ5255759

Abdelkarem Berkaoui

Publication date: 19 June 2015

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493715500173

zbMATH Keywords

martingale measureoptional decompositionsublinear expectationoptional \(m\)-stability

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24)

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On representations of the set of supermartingale measures and applications in discrete time ⋮ A characterization of the set of local martingale measures

Cites Work

• Recursive multiple-priors.
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• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
• On Square Integrable Martingales