Finitely additive equivalent martingale measures

DOI10.1007/S10959-010-0337-0MaRDI QIDQ742102zbMATH OpenOpenAlexFDO

Authors Patrizia Berti, Luca Pratelli, Pietro Rigo

Publication date 18 September 2014

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1012.2811

zbMATH Keywords

arbitrageDe Finetti's coherence principleequivalent martingale measurefinitely additive probabilityfundamental theorem of asset pricing

Mathematics Subject Classification ID

Integration theory via linear functionals (Radon measures, Daniell integrals, etc.), representing set functions and measures (28C05) Axioms; other general questions in probability (60A05) Probabilistic measure theory (60A10) Portfolio theory (91G10)

Abstract: Let $L$ be a linear space of real bounded random variables on the probability space $(Omega,mathcalA,P_0)$. There is a finitely additive probability $P$ on $mathcalA$, such that $Psim{P}_0$ and $E_P(X)=0$ for all $XinL$, if and only if $c,E_Q(X)leqextesssup(-X)$, $XinL$, for some constant $c>0$ and (countably additive) probability $Q$ on $mathcalA$ such that $Qsim{P}_0$. A necessary condition for such a $P$ to exist is $$, where the closure is in the norm-topology. If $P_0$ is atomic, the condition is sufficient as well. In addition, there is a finitely additive probability $P$ on $mathcalA$, such that $Pll{P}_0$ and $E_P(X)=0$ for all $XinL$, if and only if $extesssup(X)geq0$ for all $XinL$.

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Cites work

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Cited in

(11)

• A unifying view on some problems in probability and statistics
• On linear aggregation of infinitely many finitely additive probability measures
• Two versions of the fundamental theorem of asset pricing
• On local convexity in \(\mathbb{L}^0\) and switching probability measures
• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
• Finitely additive FTAP under an atomic reference measure
• Annihilating probability measures under constraints
• Envelopes of joint probabilities with given marginals under absolute continuity or equivalence constraints
• The strength of de Finetti's coherence theorem
• Probability propagation rules for Aristotelian syllogisms
• Finitely additive mass transportation

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