On equivalent martingale measures with bounded densities

Yuri Kabanov; Christophe Stricker

Séminaire de probabilités de Strasbourg (2001)

  • Volume: 35, page 139-148

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Kabanov, Yuri, and Stricker, Christophe. "On equivalent martingale measures with bounded densities." Séminaire de probabilités de Strasbourg 35 (2001): 139-148. <http://eudml.org/doc/114054>.

@article{Kabanov2001,
author = {Kabanov, Yuri, Stricker, Christophe},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {martingale measures; distance on measure spaces},
language = {eng},
pages = {139-148},
publisher = {Springer - Lecture Notes in Mathematics},
title = {On equivalent martingale measures with bounded densities},
url = {http://eudml.org/doc/114054},
volume = {35},
year = {2001},
}

TY - JOUR
AU - Kabanov, Yuri
AU - Stricker, Christophe
TI - On equivalent martingale measures with bounded densities
JO - Séminaire de probabilités de Strasbourg
PY - 2001
PB - Springer - Lecture Notes in Mathematics
VL - 35
SP - 139
EP - 148
LA - eng
KW - martingale measures; distance on measure spaces
UR - http://eudml.org/doc/114054
ER -

References

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  2. [2] Delbaen F., Grandits P., Rheinländer Th., Samperi D., Schweizer M., Stricker C.. Exponential hedging and entropic penalties. Preprint of the University of Franche-Comté, n° 2000/06. Zbl1072.91019MR1891730
  3. [3] Delbaen F., Schachermayer W.The Fundamental Theorem of Asset Pricing for unbounded stochastic processes. Math. Annalen, 312 (1998), 215 - 250. Zbl0917.60048MR1671792
  4. [4] Dalang R.C., Morton A., Willinger W.Equivalent martingale measures and no-arbitrage in stochastic securities market model. Stochastics and Stochastic Reports, 29 (1990), 185-201. Zbl0694.90037MR1041035
  5. [5] Émery M.. Compensation de processus V.F. non localement intégrables. Séminaire de Probabilités XIV, Lect. Notes in Math., 784, Springer, Berlin-Heidelberg-New York, 1980, 250-252. Zbl0428.60054MR580120
  6. [6] Föllmer H., Kabanov Yu.M.Optional decomposition and Lagrange multipliers. Finance and Stochastics, 2 (1998), 1, 69-81. Zbl0894.90016MR1804665
  7. [7] Hirriart-Urruty J.B., Lemaréchal C., Convex Analysis and Minimization Algorithms, I. Springer, Berlin-Heidelberg-New York, 1996. 
  8. [8] Jacka S.D.A martingale representation result and an application to incomplete financial markets. Mathematical Finance, 2 (1992), 4, 239-250. Zbl0900.90044
  9. [9] Jacod J., Shiryaev A.N.Limit Theorems for Stochastic Processes. Springer, Berlin-Heidelberg-New York, 1987. Zbl0635.60021MR959133
  10. [10] Kabanov Yu M.On the FTAP of Kreps-Delbaen-Schachermayer. Statistics and Control of Random Processes. The Liptser Festschrift. Proceedings of Steklov Mathematical Institute Seminar, World Scientific, 1997, 191-203. Zbl0926.91017MR1647282
  11. [11] Kabanov Yu.M., Liptser R.Sh., Shiryaev A.N., On the variation distance for probability measures defined on a filtered space. Probability Theory and Related Fields, 71 (1986), 19-35. Zbl0554.60006MR814659
  12. [12] Kramkov D.O.On a closure of the family of martingale measures and an optional decomposition of semimartingales. Probability Theory and Its Applications, 41 (1996), 788-791. Zbl0965.60050MR1687160

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