A note on the existence of unique equivalent martingale measures in a Markovian setting
A note on the existence of unique equivalent martingale measures in a Markovian setting
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关于马尔可夫环境中唯一等价鞅测度存在性的说明
DOI：
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发表时间：
1997
影响因子：
1.7
通讯作者：
Tina Hviid Rydberg
中科院分区：
文献类型：
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作者：
Tina Hviid Rydberg
抽象的。给出了存在唯一等价鞅测度的简单充分条件。此外，这些条件给了我们一个处理的情况下，等价的鞅测度不存在。唯一等价鞅测度的存在性与金融数学中的问题密切相关。两个例子的模型的存在性问题是未解决的研究。利用我们的结果证明了直到爆炸时刻的唯一等价测度的存在性。
Abstract. Simple sufficient conditions for the existence of a unique equivalent martingale measure are provided. Furthermore, these conditions give us a handle on situations where an equivalent martingale measure cannot exist. The existence of a unique equivalent martingale measure is of relevance to problems in mathematical finance. Two examples of models for which the question of existence was unresolved are studied. By means of our results existence of a unique equivalent measure up to an explosion time is proved.