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In discrete time a local martingale is a martingale under an equivalent probability measure

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  • Yuri Kabanov

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  • Yuri Kabanov, 2008. "In discrete time a local martingale is a martingale under an equivalent probability measure," Finance and Stochastics, Springer, vol. 12(3), pages 293-297, July.
    • Handle: RePEc:spr:finsto:v:12:y:2008:i:3:p:293-297
    DOI: 10.1007/s00780-008-0063-y
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    References listed on IDEAS

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    1. J. Jacod & A.N. Shiryaev, 1998. "Local martingales and the fundamental asset pricing theorems in the discrete-time case," Finance and Stochastics, Springer, vol. 2(3), pages 259-273.
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    Citations

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    Cited by:

    1. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
    2. Erhan Bayraktar & Yuchong Zhang, 2013. "Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty," Papers 1309.1420, arXiv.org, revised Aug 2015.
    3. Jarrow, Robert & Protter, Philip, 2012. "Discrete versus continuous time models: Local martingales and singular processes in asset pricing theory," Finance Research Letters, Elsevier, vol. 9(2), pages 58-62.
    4. Michael R. Tehranchi, 2014. "Arbitrage theory without a num\'eraire," Papers 1410.2976, arXiv.org, revised Jul 2015.

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    More about this item

    Keywords

    Martingale; Generalized martingale; Dalang–Morton–Willinger theorem; Krein–S̆mulian theorem; Free lunch; 60G42; G10;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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