The Existence of Dominating Local Martingale Measures
AbstractWe prove that, for locally bounded processes, absence of arbitrage opportunities of the first kind is equivalent to the existence of a dominating local martingale measure. This is related to and motivated by results from the theory of filtration enlargements.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1111.3885.
Date of creation: Nov 2011
Date of revision: Mar 2013
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-11-21 (All new papers)
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- repec:wop:humbsf:1998-25 is not listed on IDEAS
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