Prokaj, Vilmos and Ruf, Johannes 
ORCID: 0000-0003-3616-2194
(2018)
Local martingales in discrete time.
Electronic Communications in Probability, 23 (31).
ISSN 1083-589X
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Identification Number: 10.1214/18-ECP133
Abstract
For any discrete-time P–local martingale S there exists a probability measure Q∼P such that S is a Q–martingale. A new proof for this result is provided. The core idea relies on an appropriate modification of an argument by Chris Rogers, used to prove a version of the fundamental theorem of asset pricing in discrete time. This proof also yields that, for any ε>0, the measure Q can be chosen so that dQdP≤1+ε.
| Item Type: | Article |
|---|---|
| Official URL: | https://projecteuclid.org/euclid.ecp |
| Additional Information: | © 2018 Project Euclid |
| Divisions: | Mathematics |
| Subjects: | Q Science > QA Mathematics |
| Date Deposited: | 08 May 2018 15:12 |
| Last Modified: | 01 Oct 2024 03:03 |
| URI: | http://eprints.lse.ac.uk/id/eprint/87801 |
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