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Local martingales in discrete time

Prokaj, Vilmos and Ruf, Johannes (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
Sets: Departments > Mathematics
Date Deposited: 08 May 2018 15:12
Last Modified: 20 Jan 2020 01:25
URI: http://eprints.lse.ac.uk/id/eprint/87801

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