Generalized supermartingale deflators under limited information
Kardaras, Constantinos
(2011)
Generalized supermartingale deflators under limited information.
Mathematical Finance, 23 (1).
pp. 186-197.
ISSN 0960-1627
We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integrator. We obtain the equivalence of the boundedness in probability of the set of terminal wealth outcomes (which in turn is equivalent to the weak market viability condition of absence of arbitrage of the first kind) with the existence of at least one strictly positive deflator that makes the deflated wealth processes have a generalized supermartingale property.
| Item Type | Article |
|---|---|
| Keywords | limited information,generalized supermartingales,boundedness in probability,arbitrages of the first kind,fundamental theorem of asset pricing |
| Departments | LSE |
| DOI | 10.1111/j.1467-9965.2011.00484.x |
| Date Deposited | 19 Feb 2013 10:57 |
| URI | https://researchonline.lse.ac.uk/id/eprint/48742 |
ORCID: https://orcid.org/0000-0001-6903-4506