Towards a probability-free theory of continuous martingales

Vladimir Vovk and Glenn Shafer

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Abstract: Without probability theory, we define classes of supermartingales, martingales, and semimartingales in idealized financial markets with continuous price paths. This allows us to establish probability-free versions of a number of standard results in martingale theory, including the Dubins-Schwarz theorem, the Girsanov theorem, and results concerning the It\^o integral. We also establish the existence of an equity premium and a CAPM relationship in this probability-free setting.

Date: 2017-03
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1703.08715

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