Equivalent martingale measures and no-arbitrage

DOI10.1080/17442509408833943zbMath0851.60077OpenAlexW1971031514MaRDI QIDQ4885245

L. C. G. Rogers, John B. Walsh

Publication date: 15 July 1996

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509408833943

zbMATH Keywords

Brownian motionlocal timeDirichlet processquadratic variation

Mathematics Subject Classification ID

Brownian motion (60J65)

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• A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time
• On the fundamental theorem of asset pricing with an infinite state space
• Equivalent martingale measures and no-arbitrage in stochastic securities market models
• MARTINGALE MEASURES FOR DISCRETE‐TIME PROCESSES WITH INFINITE HORIZON

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