Locally Ф-integrable σ-martingale densitiesfor general semimartingales
DOI10.1080/17442508.2015.1052809zbMath1337.60083OpenAlexW2304331855MaRDI QIDQ2803516
Tahir Choulli, Martin Schweizer
Publication date: 4 May 2016
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2015.1052809
semimartingalesmathematical financeequivalent martingale measures\(\sigma\)-martingalesJacod decomposition
Fundamental topics (basic mathematics, methodology; applicable to economics in general) (91B02) Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Financial applications of other theories (91G80)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A note on the condition of no unbounded profit with bounded risk
- Calcul stochastique et problèmes de martingales
- Market viability via absence of arbitrage of the first kind
- Markets with transaction costs. Mathematical theory.
- Minimal Hellinger martingale measures of order \(q\)
- Partially finite convex programming. I: Quasi relative interiors and duality theory
- The fundamental theorem of asset pricing for unbounded stochastic processes
- The measurability of Carathéodory set-valued mappings and random fixed point theorems
- \(L_ p\)-spectral estimation with an \(L_ \infty\)-upper bound
- Notions of relative interior in Banach spaces
- Infinite dimensional duality and applications
- The mathematics of arbitrage
- M6—On Minimal Market Models and Minimal Martingale Measures
- Lower Bounds of Martingale Measure Densities in the Dalang–Morton–Willinger Theorem
- Equivalent martingale measures and no-arbitrage in stochastic securities market models
- Duality Relationships for Entropy-Like Minimization Problems
- A Martingale Representation Result and an Application to Incomplete Financial Markets
- $\sigma$-Localization and $\sigma$-Martingales
- Local and True Martingales in Discrete Time
- MORE ON MINIMAL ENTROPY–HELLINGER MARTINGALE MEASURE
This page was built for publication: Locally Ф-integrable σ-martingale densitiesfor general semimartingales
