Delbaen, Freddy; Schachermayer, Walter The existence of absolutely continuous local martingale measures. (English) Zbl 0847.90013 Ann. Appl. Probab. 5, No. 4, 926-945 (1995). Summary: We investigate the existence of an absolutely continuous martingale measure. For continuous processes we show that the absence of arbitrage for general admissible integrands implies the existence of an absolutely continuous (not necessarily equivalent) local martingale measure. We also rephrase Radon-Nikodym theorems for predictable processes. Cited in 56 Documents MSC: 91B28 Finance etc. (MSC2000) 60G44 Martingales with continuous parameter 46N10 Applications of functional analysis in optimization, convex analysis, mathematical programming, economics 47N10 Applications of operator theory in optimization, convex analysis, mathematical programming, economics 60H05 Stochastic integrals 60G40 Stopping times; optimal stopping problems; gambling theory Keywords:absolutely continuous martingale measure; absence of arbitrage; Radon-Nikodym theorems; predictable processes PDFBibTeX XMLCite \textit{F. Delbaen} and \textit{W. Schachermayer}, Ann. Appl. Probab. 5, No. 4, 926--945 (1995; Zbl 0847.90013) Full Text: DOI