LOCAL AND TRUE MARTINGALES IN DISCRETE TIME

作者：Prokaj V^*; Rasonyi M

来源：Theory of Probability and Its Applications, 2011, 55(2): 325-U221.

DOI：10.1137/S0040585X97984899

• equivalent martingale measure
• local martingale
• total variation norm

We prove that for a discrete-time process with infinite time horizon the set of equivalent L-p-martingale measures is dense in the set of equivalent local martingale measures with respect to the total variation norm.

• 出版日期2011