Martingale Measures For A Class of Right‐Continuous Processes

摘要: The subject of the present paper is following. Suppose that W a class adapted, right-continuous processes on continuous time horizon [0, 1], and for every stopping W, () bounded below. A necessary sufficient condition will be given existence probability measure Q which equivalent to original such each process in martingale under Q. If represent discounted prices available securities, then here can interpreted as absence “free lunch” securities market. This familiar kind theorem from finance literature; novelty this security are not required LP some 1 p, nor they assumed continuous. Also, concept free lunch invariant substitution by an measure. assumption below quite natural since nonnegative. We shall define admissible subjective measures assume agent economy has selected (hat class. Subjective defined using his or her It shown additional common simultaneously all possible agents economy.