Minimal martingale measure on a finite probability space

Doroshenko, Vadym

doi:10.1090/S0094-9000-2012-00852-1

Minimal martingale measure on a finite probability space

Author: Vadym Doroshenko
Translated by: N. Semenov
Journal: Theor. Probability and Math. Statist. 84 (2012), 33-42
MSC (2010): Primary 91G99; Secondary 60G42, 15A06
DOI: https://doi.org/10.1090/S0094-9000-2012-00852-1
Published electronically: July 26, 2012
MathSciNet review: 2857414
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Abstract: Necessary and sufficient conditions are established for the existence of a minimal martingale measure for a discrete time financial market on a finite probability space.

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