Sigma-martingale

From formulasearchengine
Jump to navigation Jump to search

{{ safesubst:#invoke:Unsubst||$N=Context |date=__DATE__ |$B= {{#invoke:Message box|ambox}} }} In the mathematical theory of probability, a sigma-martingale is a semimartingale with an integral representation. Sigma-martingales were introduced by C.S. Chou and M. Emery in 1977 and 1978.[1] In financial mathematics, sigma-martingales appear in the fundamental theorem of asset pricing as an equivalent condition to no free lunch with vanishing risk (a no-arbitrage condition).[2]

Mathematical definition

An -valued stochastic process is a sigma-martingale if it is a semimartingale and there exists an -valued martingale M and an M-integrable predictable process with values in such that

[1]

References

  1. 1.0 1.1 {{#invoke:Citation/CS1|citation |CitationClass=journal }}
  2. {{#invoke:Citation/CS1|citation |CitationClass=journal }}

Template:Stochastic processes Template:Probability-stub