Decomposability of Cylindrical Martingales and Absolutely Summing Operators.
Zdzislaw Suchanecki, Aleksander Weron (1984)
Mathematische Zeitschrift
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Zdzislaw Suchanecki, Aleksander Weron (1984)
Mathematische Zeitschrift
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Manuel González, Antonio Martínez-Abejón, Javier Pello-García (2004)
Extracta Mathematicae
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The Radon-Nikodým property was introduced to describe those Banach spaces X for which all operators acting between L1 and X have a representation function. These spaces can be characterized in terms of martingales, as those spaces in which every uniformly bounded martingale converges. In the present work we study some classes of operators defined upon their behaviour with respect to the convergence of such martingales. We prove that an operator preserves the non-convergence of uniformly...
Jakub Zwierz (2007)
Bulletin of the Polish Academy of Sciences. Mathematics
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We consider a market with two types of agents with different levels of information. In addition to a regular agent, there is an insider whose additional knowledge consists of being able to stop at an honest time Λ. We show, using the multiplicative decomposition of the Azéma supermartingale, that if the martingale part of the price process has the predictable representation property and Λ satisfies some mild assumptions, then there is no equivalent local martingale measure for the insider....
Takeshi Sekiguchi (1976)
Séminaire de probabilités de Strasbourg
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F. Utzet (1985)
Annales scientifiques de l'Université de Clermont-Ferrand 2. Série Probabilités et applications
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Nikos E. Frangos, Peter Imkeller (1988)
Annales de l'I.H.P. Probabilités et statistiques
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Norihiko Kazamaki (1976)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1972)
Séminaire de probabilités de Strasbourg
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Norihiko Kazamaki (1978)
Séminaire de probabilités de Strasbourg
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