×

The existence of absolutely continuous local martingale measures. (English) Zbl 0847.90013

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.

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
PDFBibTeX XMLCite
Full Text: DOI