Density of the set of probability measures with the martingale representation property

DOI10.1214/18-AOP1321zbMath1451.60044arXiv1709.07329OpenAlexW2760361137MaRDI QIDQ2327953

Dmitry Kramkov, Sergio Pulido

Publication date: 8 October 2019

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1709.07329

zbMATH Keywords

martingalesequilibriummartingale representation propertystochastic integralscomplete marketanalytic fieldsendogenous completeness

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05)

Related Items (1)

Martingale spaces and representations under absolutely continuous changes of probability

Cites Work

• A system of quadratic BSDEs arising in a price impact model
• Existence of financial equilibria in continuous time with potentially complete markets
• Existence of an endogenously complete equilibrium driven by a diffusion
• Market completion with derivative securities
• Calcul stochastique et problèmes de martingales
• On the two-times differentiability of the value functions in the problem of optimal investment in incomplete markets
• Pricing in an equilibrium based model for a large investor
• Integral representation of martingales motivated by the problem of endogenous completeness in financial economics
• Endogenous Completeness of Diffusion Driven Equilibrium Markets
• Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets
• Market completion using options

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