UNIVERSITY
OF WROCŁAW
 
Main Page
Contents
Online First
General Information
Instructions for authors


VOLUMES
43.2 43.1 42.2 42.1 41.2 41.1 40.2
40.1 39.2 39.1 38.2 38.1 37.2 37.1
36.2 36.1 35.2 35.1 34.2 34.1 33.2
33.1 32.2 32.1 31.2 31.1 30.2 30.1
29.2 29.1 28.2 28.1 27.2 27.1 26.2
26.1 25.2 25.1 24.2 24.1 23.2 23.1
22.2 22.1 21.2 21.1 20.2 20.1 19.2
19.1 18.2 18.1 17.2 17.1 16.2 16.1
15 14.2 14.1 13.2 13.1 12.2 12.1
11.2 11.1 10.2 10.1 9.2 9.1 8
7.2 7.1 6.2 6.1 5.2 5.1 4.2
4.1 3.2 3.1 2.2 2.1 1.2 1.1
 
 
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: -

Download:    Abstract    Full text   Abstract + References