The existence of dominating local martingale measures

Peter Imkeller () and Nicolas Perkowski ()

Finance and Stochastics, 2015, vol. 19, issue 4, 685-717

Abstract: We prove that for locally bounded processes the absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of filtration enlargements. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Dominating local martingale measure; Arbitrage of the first kind; Fundamental theorem of asset pricing; Supermartingale densities; Föllmer’s measure; Enlargement of filtration; Jacod’s criterion; 60G44; 60G48; 91B70; 46N10; G10 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (13)

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DOI: 10.1007/s00780-015-0264-0

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