Lower Bounds of Martingale Measure Densities in the Dalang–Morton–Willinger Theorem

DOI10.1137/S0040585X97984310zbMath1218.60034arXiv0804.1761OpenAlexW2962783603MaRDI QIDQ3061299

Dmitry B. Rokhlin

Publication date: 14 December 2010

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0804.1761

zbMATH Keywords

regular conditional distributionmartingale measure density

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

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