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Trudy Matematicheskogo Instituta imeni V.A. Steklova, 2002, Volume 237, Pages 212–216 (Mi tm332)  
This article is cited in 2 scientific papers (total in 2 papers)

A Note on Martingale Measures with Bounded Densities

M. Rásonyi

Computer and Automation Institute of the Hungarian Academy of Sciences
Full-text PDF (117 kB) Citations (2)
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Abstract: Let $S$ be a discrete-time martingale with a finite horizon. We show that the set of equivalent martingale measures with bounded densities is dense in the set of equivalent martingale measures with respect to the total variation norm.
Received in September 2000
Bibliographic databases:
UDC: 519.2+519.8
Language: English
Citation: M. Rásonyi, “A Note on Martingale Measures with Bounded Densities”, Stochastic financial mathematics, Collected papers, Trudy Mat. Inst. Steklova, 237, Nauka, MAIK «Nauka/Inteperiodika», M., 2002, 212–216; Proc. Steklov Inst. Math., 237 (2002), 203–207
Citation in format AMSBIB
\Bibitem{Ras02}
\by M.~R\'asonyi
\paper A~Note on Martingale Measures with Bounded Densities
\inbook Stochastic financial mathematics
\bookinfo Collected papers
\serial Trudy Mat. Inst. Steklova
\yr 2002
\vol 237
\pages 212--216
\publ Nauka, MAIK «Nauka/Inteperiodika»
\publaddr M.
\mathnet{http://mi.mathnet.ru/tm332}
\mathscinet{https://mathscinet.ams.org/mathscinet-getitem?mr=1976516}
\zmath{https://zbmath.org/?q=an:1023.91028}
\transl
\jour Proc. Steklov Inst. Math.
\yr 2002
\vol 237
\pages 203--207
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    • This publication is cited in the following 2 articles:
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