DENSITY OF THE SET OF PROBABILITY MEASURES WITH THE MARTINGALE REPRESENTATION PROPERTY

Let ψ be a multidimensional random variable. We show that the set of probability measures ℚ such that the ℚ-martingale S t ℚ = E ℚ [ ψ | F t ] has the Martingale Representation Property (MRP) is either empty or dense in L∞ -norm. The proof is based on a related result involving analytic fields of te...

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Veröffentlicht in:	IDEAS Working Paper Series from RePEc 2019-07, Vol.47 (4), p.2563-2581
Hauptverfasser:	Kramkov, Dmitry, Pulido, Sergio
Format:	Artikel
Sprache:	eng
Schlagworte:	General Finance Mathematics Probability Quantitative Finance Random variables
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