A unifying view on some problems in probability and statistics

DOI10.1007/S10260-014-0272-9zbMath1478.60007OpenAlexW1988785759MaRDI QIDQ2066865

Patrizia Berti, Pietro Rigo, Luca Pratelli

Publication date: 14 January 2022

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-014-0272-9

zbMATH Keywords

equivalent martingale measurefundamental theorem of asset pricingfinitely additive probabilityde Finetti's coherence principlecompatibility of conditional distributionsequivalent probability measure with given marginals

Mathematics Subject Classification ID

Probabilistic measure theory (60A10) Axioms; other general questions in probability (60A05) Foundations of stochastic processes (60G05)

Related Items (2)

On linear aggregation of infinitely many finitely additive probability measures ⋮ Equivalent or absolutely continuous probability measures with given marginals

Cites Work

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• The Kreps--Yan theorem for \(L^\infty\)
• Yan theorem in \(L^{\infty}\) with applications to asset pricing
• The mathematics of arbitrage
• A note on lower bounds of martingale measure densities
• Compatibility results for conditional distributions
• Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• The Existence of Probability Measures with Given Marginals

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