Back, K. and S. Pliska (1991), "On the Fundamental Theorem of Asset Pricing with an Infinite State Space," Journal of Mathematical Economics, 20, 1-18. Home/Search Document Not in Database Summary Related Articles Check |
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Empty Promises and Arbitrage - Willard, Dybvig (1999) (Correct)
....Since the set M of marketed net trades is a subspace, M = M and therefore ( M) is the same as M , but this fact is not needed for the proof. 820 Empty Promises and Arbitrage dividend processes, so we simply assume that returns are generated by some special semimartingale process G, as in Back (1991). 11 We also assume that there is an asset with a locally riskless instantaneous return represented by r t dt. Return processes and their coefficients are assumed to be adapted to a given right continuous complete filtration F = F t : t # [0, T ] that satisfies F T = F . Corresponding ....
....is generally insufficient to guarantee the existence of a continuous linear pricing rule. A problem is that the interior of the nonnegative orthant is empty in most interesting infinite dimensional spaces, thus invalidating most separating hyperplane theorems. See Ross (1978) Kreps (1981) and Back and Pliska (1991) for more details. 19 This agent cannot be our agent because adding the topologically small deviation may cause our agent s consumption to lie outside the consumption set. 824 Empty Promises and Arbitrage A be candidate arbitrage payoffs in the traditional setting, A # (c 0 , c 1 ) # C: ....
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Back, K., and S. Pliska, 1991, "On the Fundamental Theorem of Asset Pricing with an Infinite State Space," Journal of Mathematical Economics, 20, 1--18.
On the Existence of Equivalent Tau-Measures in Finite Discrete Time - Schürger (Correct)
....et al. 1990) the probability space( Omega ; F; P ) and the oe algebras F n are assumed to be complete. It is, however, easy to see that these additional hypotheses are unnecessary. Special cases of Theorem 1. 1 were derived e.g. by Harrison and Pliska (1981) Taqqu and Willinger (1987) and Back and Pliska (1991). The original proof of Theorem 1.1 given in Dalang et al. 1990) is based on measurable selection and measure decomposition theorems. Alternative proofs are due to Schachermayer (1992) using certain Hilbert space techniques) Kabanov and Kramkov (1994) and Rogers (1994) Note that Theorem 1.1 ....
K. Back and S.R. Pliska, On the fundamental theorem of asset pricing with an infinite state space, J. Math. Econom. 20 (1991) 1--18.
A Discrete Time Equivalent Martingale Measure - Elliott, Madan (1996) (Correct)
....1 For infinite dimensional state spaces the notion of no arbitrage needs to be refined to that of absence of free lunches. For further details the reader is referred to Stricker (1990) Back and Pliska (1991), Delbaen (1992) Lakner (1993) Schachermayer (1994) 2 Considerable advances are also currently being made in bridging this gap by when equivalent martingale measures are not unique, F llmer and Schweizer (1991) Duffie and Richardson (1991) and Colwell and Elliott (1993) have recently ....
Back, K. and S.Pliska (1991), "On the Fundamental Theorem of Asset Pricing with an Infinite State Space," Journal of Mathematical Economics, 20, 1-18.
Robert A. Jarrow - Johnson Graduate School (Correct)
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Back, K. and S. Pliska (1991), "On the Fundamental Theorem of Asset Pricing with an Infinite State Space," Journal of Mathematical Economics, 20, 1-18.
A Counter-Example To Several Problems In The Theory Of Asset.. - Schachermayer (1992) (4 citations) (Correct)
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K. Back, S. R. Pliska (1990), On the Fundamental Theorem of Asset Pricing with an infinite State Space, Journal of Mathematical Economics 20, 1 -- 18.
Martingale Measures For Discrete Time Processes With Infinite.. - Schachermayer (1992) (4 citations) (Correct)
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K. Back, S. R. Pliska (1990), On the Fundamental Theorem of Asset Pricing with an infinite State Space, Journal of Mathematical Economics 20, 1 -- 18.
A Hilbert Space Proof of the Fundamental Theorem of Asset.. - Schachermayer (1992) (3 citations) (Correct)
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K. Back, S. R. Pliska (1990), On the Fundamental Theorem of Asset Pricing with an infinite State Space, Journal of Mathematical Economics 20, 1 -- 18.
Asymptotic Arbitrage in a Stochastic Economic Model - Dokuchaev, Savkin (Correct)
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Back, K. and S. Pliska, S., 1991, On the fundamental theorem of asset pricing with an infinite state space. Journal of Mathematical Economics 20, 1-33.
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