In discrete time a local martingale is a martingale under an equivalent probability measure

DOI10.1007/s00780-008-0063-yzbMath1164.60031OpenAlexW2013937202MaRDI QIDQ1003343

Youri M.Kabanov

Publication date: 28 February 2009

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

Full work available at URL: https://doi.org/10.1007/s00780-008-0063-y

zbMATH Keywords

martingalefree lunchgeneralized martingaleKrein-Šmulian theoremDalang-Morton-Willinger theorem

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

Related Items (6)

On the optional and orthogonal decompositions of a class of semimartingales ⋮ Enlargement of Filtration in Discrete Time ⋮ Local martingales in discrete time ⋮ On a generalized optional decomposition theorem ⋮ Equivalent locally martingale measure for the deflator process on ordered Banach algebra ⋮ A Mathematical Theory of Financial Bubbles

Cites Work

• Local martingales and the fundamental asset pricing theorems in the discrete-time case
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
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