SFB 303 Discussion Paper No. B-229

Author: Schürger, Klaus
Title: On the Existence of Equivalent Submartingale Measures
Abstract: Based on results of Yan (1980) and of Ansel and Stricker (1990) we characterize those R^d-valued stochastic processes (X_t) satisfying (II X_t II) C L^P(P) (1\leq p \le \infinity) which are submartingales w.r.t. a certain equivalent probability measure Q such that the Radon-Nikodym derivative dQ/dP belongs to L^q(P) where p^(-1)+q^(-1)=1. We also give conditions which guarantee that, additionally, (X_t) is bounded in L^1(Q).
Keywords: equivalent martingale measure, no-arbitrage, security market
JEL-Classification-Number: 313, 213
Creation-Date: 10.12.1992
URL: ../1992/b/bonnsfb229.pdf

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