The existence of dominating local martingale measures

DOI10.1007/s00780-015-0264-0zbMath1326.60058arXiv1111.3885OpenAlexW1591243351MaRDI QIDQ889615

Peter Imkeller, Nicolas Perkowski

Publication date: 9 November 2015

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

Full work available at URL: https://arxiv.org/abs/1111.3885

zbMATH Keywords

asset pricingarbitrage of first kinddominating local martingale measurefiltration enlargementsFöllmer's measureJacod's criterionsupermartingale densities

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)

Related Items (13)

Arbitrage of the first kind and filtration enlargements in semimartingale financial models ⋮ Drift operator in a viable expansion of information flow ⋮ Arbitrage and utility maximization in market models with an insider ⋮ Pathwise superreplication via Vovk's outer measure ⋮ A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing ⋮ No arbitrage and multiplicative special semimartingales ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Model‐free portfolio theory: A rough path approach ⋮ Pathwise stochastic integrals for model free finance ⋮ PRICING AND VALUATION UNDER THE REAL-WORLD MEASURE ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration ⋮ Supermartingales as Radon-Nikodym densities and related measure extensions ⋮ Econometrics of co-jumps in high-frequency data with noise

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