A note on lower bounds of martingale measure densities

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For a given element $f\in L^1$ and a convex cone $C\subset L^\infty$, $C\cap L^\infty_+=\{0\}$ we give necessary and sufficient conditions for the existence of an element $g\ge f$ lying in the polar of $C$. This polar is taken in $(L^\infty)^*$ and in $L^1$. In the context of mathematical finance the main result concerns the existence of martingale measures, whose densities are bounded from below by prescribed random variable.
9 pages

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Functional Analysis, 46E30

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http://salesiana.dossiersoluciones.com/handle/123456789/75248

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0505411
 http://arxiv.org/abs/math/0505411

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arXiv