A quantitative and a dual version of the Halmos-Savage theorem with applications to mathematical finance

DOI10.1214/aop/1039639366zbMath0870.90017OpenAlexW1965390163MaRDI QIDQ2563937

Irene Klein, Walter Schachermayer

Publication date: 6 January 1997

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

Full work available at URL: https://doi.org/10.1214/aop/1039639366

zbMATH Keywords

stochastic processesno arbitragemathematical financeHalmos-Savage theoremexistence of equivalent martingale measures

Mathematics Subject Classification ID

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Cites Work

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• Arbitrage and equilibrium in economies with infinitely many commodities
• Martingales and stochastic integrals in the theory of continuous trading
• A general version of the fundamental theorem of asset pricing
• Asymptotic arbitrage in large financial markets
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON
• Application of the Radon-Nikodym Theorem to the Theory of Sufficient Statistics

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