On the existence of an equivalent supermartingale density for a fork-convex family of stochastic processes

DOI10.1134/S0001434610030338zbMath1203.60046MaRDI QIDQ1957088

Dmitry B. Rokhlin

Publication date: 24 September 2010

Published in: Mathematical Notes (Search for Journal in Brave)

zbMATH Keywords

no unbounded profit with bounded riskequivalent supermartingale densityfork-convex family of nonnegative stochastic processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44)

Related Items (5)

Robust utility maximization in terms of supermartingale measures ⋮ The existence of dominating local martingale measures ⋮ A convergence result for the Emery topology and a variant of the proof of the fundamental theorem of asset pricing ⋮ Optimal investment and consumption with labor income in incomplete markets ⋮ On an Optional Semimartingale Decomposition and the Existence of a Deflator in an Enlarged Filtration

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