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WROCŁAW UNIVERSITY
OF SCIENCE AND
TECHNOLOGY

Contents of PMS, Vol. 19, Fasc. 1,
pages 203 - 209
 

ON MARTINGALE MEASURES FOR STOCHASTIC PROCESSES WITH DISCRETE TIME

Ewa Czkwianianc
Adam Paszkiewicz

Abstract: Let (X(t);t  (-  N +) be a random sequence adopted to a filtration (F  )
  t in (_O_,F, P) satisfying some natural assumption. If none of the events (X(t+ 1) > X(t)), (X(t +1) < X(t)) can be predicted, i.e. none contains some A  (-  F ,P (A) > 0,
      t then (X(t),F )
       t is a martingale for some probability P* on F. It is a version of the “fundamental theorem of option pricing”.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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