Price uniqueness and fundamental theorem of asset pricing with finitely additive probabilities

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2014-01-02 DOI:10.1080/17442508.2013.763808

P. Berti, L. Pratelli, P. Rigo

引用次数: 5

Abstract

Let L be a linear space of real-bounded random variables on the probability space . A finitely additive probability P on such thatis called equivalent martingale finitely additive probability (EMFA). In this paper, EMFAs are investigated in case P0 is atomic. Existence of EMFAs is characterized and a question raised in Berti et al. (2012, J. Theoret. Probab. Available at http://economia.unipv.it/pagp/pagine_personali/prigo/arb.pdf) is answered. Some results of the following type are obtained as well. Let and Y be a bounded random variable. Then , for some sequence , provided EMFAs exist and for each EMFA P.

查看原文本刊更多论文

有限加性概率下资产定价的价格唯一性及基本定理

设L是概率空间上实有界随机变量的线性空间。这样的有限可加概率P称为等效鞅有限可加概率。本文研究了P0为原子态时的emfa。Berti et al. (2012, J. theort .)对emfa的存在进行了表征，并提出了一个问题。Probab。可在http://economia.unipv.it/pagp/pagine_personali/prigo/arb.pdf上找到)的答案。还得到了下列类型的一些结果。设Y是一个有界随机变量。然后，对于某些序列，假设存在EMFA和每个EMFA P。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.