A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing

DOI10.1007/s00780-015-0276-9zbMath1341.60018arXiv1406.5414OpenAlexW1931299492MaRDI QIDQ889620

Christa Cuchiero, Josef Teichmann

Publication date: 9 November 2015

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

Full work available at URL: https://arxiv.org/abs/1406.5414

zbMATH Keywords

convergenceasset pricingEmery topologypredictable uniform tightness

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Generalizations of martingales (60G48) Financial applications of other theories (91G80) Functional limit theorems; invariance principles (60F17)

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A New Perspective on the Fundamental Theorem of Asset Pricing for Large Financial Markets, No arbitrage of the first kind and local martingale numéraires, No arbitrage and multiplicative special semimartingales, Optimal investment and consumption with labor income in incomplete markets, A Fundamental Theorem of Asset Pricing for Continuous Time Large Financial Markets in a Two Filtration Setting, Term structure modelling for multiple curves with stochastic discontinuities

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