A note on lower bounds of martingale measure densities

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dc.creatorRokhlin, Dmitry
dc.creatorSchachermayer, Walter
dc.date2005-05-19
dc.date.accessioned2026-07-07T05:20:04Z
dc.date.available2026-07-07T05:20:04Z
dc.descriptionFor 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.
dc.description9 pages
dc.identifierhttps://arxiv.org/abs/math/0505411
dc.identifierhttp://arxiv.org/abs/math/0505411
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/75248
dc.subjectFunctional Analysis
dc.subject46E30
dc.titleA note on lower bounds of martingale measure densities
dc.typetext

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