MARTINGALE MEASURES FOR DISCRETE-TIME PROCESSES WITH INFINITE HORIZON
نویسندگان
چکیده
منابع مشابه
Martingale Measures for Discrete Time Processes with Infinite Horizon
Let (St)t2I be an IR {valued adapted stochastic process on ( ;F ; (Ft)t2I ; P ). A basic problem, occuring notably in the analysis of securities markets, is to decide whether there is a probability measure Q on F equivalent to P such that (St)t2I is a martingale with respect to Q. It is known since the fundamental papers of Harrison{Kreps (79), Harrison{Pliska(81) and Kreps(81) that there is an...
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 1994
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.1994.tb00048.x