Abstract

We state necessary and sufficient conditions on a set of probability measures to be the set of martingale measures for a vector valued, bounded and adapted process. In the absence of the maximality condition, we prove the existence of the smallest set of martingale measures. We apply such results to the finite sample space case.

Full Text
Published version (Free)

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call