A Finitely Additive Version of the Fundamental Theorem of Asset Pricing
نویسندگان
چکیده
Let L be a linear space of real bounded random variables on the probability space (Ω,A, P0). It is shown that L− L∞ ∩ L∞ = {0}, with the closure in the norm-topology of L∞, if and only if there is a finitely additive probability P on A such that P ∼ P0 and EP (X) = 0 for each X ∈ L. The case where L includes unbounded random variables is investigated as well.
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