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Abstract: . Let (S t ) t2I be an IR d --valued adapted stochastic process on(\Omega ; F ; (F t ) t2I ; P ). A basic problem, occuring notably in the analysis of securities markets, is to decide whether there is a probability measure Q on F equivalent to P such that (S t ) t2I is a martingale with respect to Q. It is known since the fundamental papers of Harrison--Kreps (79), Harrison--Pliska(81) and Kreps(81) that there is an intimate relation of this problem with the notions of "no arbitrage" and... (Update)
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...argument is wellknown in the present context (compare [S92] and theorem 4. 1 below for a general version of this result; we refer to [S94] for an account on the history of this result, in particular on the work of J.A. Yan [Y80] and D. Kreps [K81] 3.1 Lemma. If S satisfies...
...a convenietly chosen sub class of the predictable trading strategies. We don t elaborate on the details here (see, e.g. HP 81] or [DS 94] and simply note that one is naturally led to a subspace (or, more generally, subcone) M of X, consisting of marketed claims , and a...
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BibTeX entry: (Update)
W. Schachermayer, Martingale Measures for Discrete time Processes with Infinite Hori-zon, Mathematical Finance 4 (1994), 25--56. http://citeseer.ist.psu.edu/schachermayer92martingale.html More
@misc{ schachermayer94martingale,
author = "W. Schachermayer",
title = "Martingale Measures for Discrete time Processes with Infinite Hori-zon",
text = "W. Schachermayer, Martingale Measures for Discrete time Processes with
Infinite Hori-zon, Mathematical Finance 4 (1994), 25--56.",
year = "1994",
url = "citeseer.ist.psu.edu/schachermayer92martingale.html" }
Citations (may not include all citations):434 The Pricing of Options and Corporate Liabilities (context) - Black, Scholes - 1973
159 The Theory of Rational Option Pricing (context) - Merton - 1973
141 Martingales and arbitrage in multiperiod securities markets (context) - Harrison, Kreps - 1979
125 Martingales and stochastic integrals in the theory of contin.. (context) - Harrison, Pliska - 1981
75 Probability with Martingales (context) - Williams - 1991
66 Stochastic Integration and Differential Equations (context) - Protter - 1990
61 A General Version of the Fundamental Theorem of Asset Pricin.. (context) - Delbaen, Schachermayer - 1993
53 Hedging of Contingent Claims under Incomplete Information (context) - Follmer, Schweizer - 1990
50 Topological Vector Spaces (context) - Schaefer - 1971
16 Option Pricing under Incompleteness and Stochastic Volatilit.. (context) - Hofmann, Platen et al. - 1992
15 Equivalent Martingale measures and no--arbitrage in stochast.. (context) - Dalang, Morton et al. - 1990
11 Representing Martingale Measures when Asset Prices are conti.. (context) - Delbaen - 1992
11 Multiperiod security markets with differential information (context) - Duffie, Huang - 1986
8 the Fundamental Theorem of Asset Pricing with an infinite St.. (context) - Back, Pliska - 1990
6 Mean-Variance Hedging for General Claims (context) - Schweizer
6 Arbitrage and Equilibrium in Economics with infinitely many .. (context) - Kreps - 1981
6 Arbitrage and Free Lunch with Bounded Risk for Unbounded Con.. (context) - Delbaen, Schachermayer - 1992
6 A Hilbert Space Proof of the Fundamental Theorem of Asset Pr.. - Schachermayer - 1992
5 The analysis of finite security markets using martingales (context) - Taqqu, Willinger - 1987
5 Martingale Densities for General Asset Prices (context) - Schweizer
4 Pathwise approximations of processes based on the fine struc.. (context) - Willinger, Taqqu - 1988
4 the Existence of equivalent local Martingale Measures (context) - Mcbeth - 1992
3 Martingale Measures for Right--Continuous Processes which ar.. (context) - Lakner
3 On weak Compactness in L 1 (context) - Diestel, Ruess et al. - 1992
3 A generalisation of a problem of Steinhaus (context) - Komlos - 1967
2 eme de Yan, S (context) - Ansel, Stricker et al. - 1990
2 Topological Vector--Spaces and Distributions (context) - Horvath - 1966
2 Lois de Martingale (context) - Ansel, Stricker - 1992
1 Equivalent Local Martingale Measures and Free Lunch in a Sto.. (context) - Lakner
1 Arbitrage et lois de martingale (context) - FOR, PROCESSES et al. - 1990
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