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arXiv · 1111.3885

The Existence of Dominating Local Martingale Measures

Peter Imkeller·Nicolas Perkowski
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Abstract

We 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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Peter Imkeller, Nicolas Perkowski. 2011-11-16. The Existence of Dominating Local Martingale Measures. https://arxiv.org/abs/1111.3885

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