A proof of the Dalang-Morton-Willinger theorem
| dc.creator | Rokhlin, Dmitry B. | |
| dc.date | 2008-04-21 | |
| dc.date.accessioned | 2026-07-07T09:33:46Z | |
| dc.date.available | 2026-07-07T09:33:46Z | |
| dc.description | We give a new proof of the Dalang-Morton-Willinger theorem, relating the no-arbitrage condition in stochastic securities market models to the existence of an equivalent martingale measure with bounded density for a $d$-dimensional stochastic sequence $(S_n)_{n=0}^N$ of stock prices. Roughly speaking, the proof is reduced to the assertion that under the no-arbitrage condition for N=1 and $S\in L^1$ there exists a strictly positive linear fucntional on $L^1$, which is bounded from above on a special subset of the subspace $K\subset L^1$ of investor's gains. | |
| dc.description | 9 pages | |
| dc.identifier | https://arxiv.org/abs/0804.3308 | |
| dc.identifier | http://arxiv.org/abs/0804.3308 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/159250 | |
| dc.subject | Probability | |
| dc.subject | 60G42; 91B24 | |
| dc.title | A proof of the Dalang-Morton-Willinger theorem | |
| dc.type | text |