The concept of an equivalent martingale measure is of key importance for pricing of financial derivative contracts. The goal of the paper is to apply infinitesimals in the non-standard analysis set-up to provide an elementary construction of the equivalent martingale measure built on hyperfinite binomial trees with infinitesimal time steps.
Let E be a real, separable Banach space and denote by the space of all E-valued random vectors defined on the probability space Ω. The following result is proved. There exists an extension of Ω, and a filtration on , such that for every there is an E-valued, continuous -martingale in which X is embedded in the sense that a.s. for an a.s. finite stopping time τ. For E = ℝ this gives a Skorokhod embedding for all , and for general E this leads to a representation of random vectors as...
Soit une mesure gaussienne sur un espace localement convexe . On donne un nouveau point de vue sur le premier espace de Sobolev construit sur et . La différentielle de est une fonction de deux variables , “quasi-linéaire” dans la seconde variable.La différentielle d’une intégrale stochastique est une intégrale stochastique sur muni de .On montre que la “procapacité gaussienne” naturelle est une vraie capacité si est un espace de Banach ou de Fréchet ou le dual faible d’un espace...
The paper is concerned with the problem of existence of explosive solutions for a class of nonlinear parabolic Itô equations. Under some sufficient conditions on the initial state and the coefficients, it is proven by the method of auxiliary functionals that there exist explosive solutions with positive probability. The main results are presented in Theorems 3.1 and 3.2 under different sets of conditions. An example is given to illustrate some application of the second theorem.