THE EXISTENCE OF ABSOLUTELY CONTINUOUS LOCAL MARTINGALE MEASURES
成果类型：
Article
署名作者：
Delbaen, Freddy; Schachermayer, Walter
署名单位：
Vrije Universiteit Brussel; University of Vienna
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177004600
发表日期：
1995
页码：
926-945
关键词：
摘要：
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.
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