Arbitrage et lois de martingale

Christophe Stricker

Annales de l'I.H.P. Probabilités et statistiques (1990)

  • Volume: 26, Issue: 3, page 451-460
  • ISSN: 0246-0203

How to cite


Stricker, Christophe. "Arbitrage et lois de martingale." Annales de l'I.H.P. Probabilités et statistiques 26.3 (1990): 451-460. <>.

author = {Stricker, Christophe},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {stochastic integrals; martingale; equivalent change of measure; stochastic models of securities markets},
language = {fre},
number = {3},
pages = {451-460},
publisher = {Gauthier-Villars},
title = {Arbitrage et lois de martingale},
url = {},
volume = {26},
year = {1990},

AU - Stricker, Christophe
TI - Arbitrage et lois de martingale
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1990
PB - Gauthier-Villars
VL - 26
IS - 3
SP - 451
EP - 460
LA - fre
KW - stochastic integrals; martingale; equivalent change of measure; stochastic models of securities markets
UR -
ER -


  1. [1] J.P. Ansel, C. Stricker, Quelques remarques sur un théorème de Yan. A paraître dans le Séminaire de Probabilités XXIV, Lect. Notes Math.Springer1990. Zbl0701.60041MR1071544
  2. [2] K. Back, S.R. Pliska, Arbitrage and martingales in markets with positive wealth constraints, Preprint (1987). MR912051
  3. [3] R.C. Dalang, A. Morton, W. Willinger, Equivalent martingale measures and no-arbitrage in stochastic securities market models, To appear. Zbl0694.90037
  4. [4] R.M. Dudley, Wiener functionals as Ito intregrals, Ann. Prob., 5, 140- 141 (1977). Zbl0359.60071MR426151
  5. [5] D. Duffie, C.F. Huang, Multiperiod security markets with differential information, J. Math. Eco.15, 283-303 (1986). Zbl0608.90006MR871158
  6. [6] J.M. Harrison, S.R. Pliska, Martingales and stochastics integrals in the theory of continuous trading, Stoch. Proc. Appl., 11, 215-260 (1981). Zbl0482.60097MR622165
  7. [7] J. Jacod, Calcul stochastique et problèmes de martingales. Lect. Notes Math., 714. Springer1979. Zbl0414.60053MR542115
  8. [8] J.A. Yan, Caractérisation d'une classe d'ensembles convexes de L1 ou H1. Séminaire de Probabilités XIV, Lect. Notes Math., 784, 220-222. Springer1980. Zbl0429.60004
  9. [9] M. Yor, Sous-espaces denses dans L1 ou H1 et représentation des martingales, Séminaire de Probabilités XII, Lect. Notes Math., 649, 205-309. Springer1978. Zbl0391.60046MR520008

Citations in EuDML Documents

  1. Joanna Piasecka, Discrete time arbitrage under transaction costs
  2. Yuri Kabanov, Christophe Stricker, A teacher's note on no-arbitrage criteria
  3. Jean-Pascal Ansel, Christophe Stricker, Lois de martingale, densités et décomposition de Föllmer Schweizer
  4. F. Delbaen, W. Schachermayer, Attainable claims with p'th moments
  5. Werner Brannath, Walter Schachermayer, A bipolar theorem for L + 0 ( Ω , , 𝐏 )
  6. Tahir Choulli, Christophe Stricker, Deux applications de la décomposition de Galtchouk-Kunita-Watanabe
  7. Jean-Pascal Ansel, Remarques sur le prix des actifs contingents

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