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JOURNALS // Trudy Matematicheskogo Instituta imeni V.A. Steklova // Archive
Trudy Mat. Inst. Steklova, 2002 Volume 237, Pages 212–216 (Mi tm332)
This article is cited in 2 papers

A Note on Martingale Measures with Bounded Densities

M. Rásonyi

Computer and Automation Institute of the Hungarian Academy of Sciences

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.

UDC: 519.2+519.8

Received in September 2000

Language: English


 English version: Proceedings of the Steklov Institute of Mathematics, 2002, 237, 203–207

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