A characterization of the set of local martingale measures

DOI10.1142/S0219493718500429zbMath1397.60082OpenAlexW2773628623MaRDI QIDQ4687208

Abdelkarem Berkaoui

Publication date: 11 October 2018

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493718500429

zbMATH Keywords

martingale measuremartingale representationsublinear expectationoptional decomposition, m-stability

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (1)

On representations of the set of supermartingale measures and applications in continuous time

Cites Work

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• The Fundamental Theorem of Asset Pricing under Proportional Transaction Costs in Finite Discrete Time
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