Kardaras, Constantinos 
ORCID: 0000-0001-6903-4506
(2011)
Generalized supermartingale deflators under limited information.
Mathematical Finance, 23 (1).
pp. 186-197.
ISSN 0960-1627
Abstract
We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integrator. We obtain the equivalence of the boundedness in probability of the set of terminal wealth outcomes (which in turn is equivalent to the weak market viability condition of absence of arbitrage of the first kind) with the existence of at least one strictly positive deflator that makes the deflated wealth processes have a generalized supermartingale property.
| Item Type: | Article |
|---|---|
| Official URL: | http://onlinelibrary.wiley.com/journal/10.1111/(IS... |
| Additional Information: | © 2013 Wiley & Sons |
| Divisions: | LSE |
| Subjects: | H Social Sciences > HB Economic Theory |
| Date Deposited: | 19 Feb 2013 10:57 |
| Last Modified: | 24 Feb 2024 20:45 |
| URI: | http://eprints.lse.ac.uk/id/eprint/48742 |
Actions (login required)
 |
View Item |
