The Existence of Dominating Local Martingale Measures

Details The Existence of Dominating Local Martingale Measures The Existence of Dominating Local Martingale Measures

2011-11-16

arxiv.org/abs/1111.3885v1

Mathematics

Probability

41 pages

Scientific paper

We prove that for locally bounded processes, the absence of arbitrage of the
first kind is equivalent to the existence of a dominating local martingale
measure. This is related to results from the theory of filtration enlargements.

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