SUPERMARTINGALES AS RADON-NIKODYM DENSITIES AND RELATED MEASURE EXTENSIONS

• 成果类型: Article
• 署名作者: Perkowski, Nicolas; Ruf, Johannes
• 署名单位: Universite PSL; Universite Paris-Dauphine; University of London; University College London
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• DOI: 10.1214/14-AOP956
• 发表日期: 2015
• 页码: 3133-3176
• 关键词: strict local martingales; Utility maximization; follmer measure; MARKETS; INVESTMENT; arbitrage; portfolio; THEOREM; models

摘要

Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and (non)uniqueness results for such measures are proven.