English

Finitely additive equivalent martingale measures

Probability 2010-12-14 v1

Abstract

Let LL be a linear space of real bounded random variables on the probability space (Ω,A,P0)(\Omega,\mathcal{A},P_0). There is a finitely additive probability PP on A\mathcal{A}, such that PP0P\sim P_0 and EP(X)=0E_P(X)=0 for all XLX\in L, if and only if cEQ(X)ess sup(X)c\,E_Q(X)\leq\text{ess sup}(-X), XLX\in L, for some constant c>0c>0 and (countably additive) probability QQ on A\mathcal{A} such that QP0Q\sim P_0. A necessary condition for such a PP to exist is LL+ˉL+={0}\bar{L-L_\infty^+}\,\cap L_\infty^+=\{0\}, where the closure is in the norm-topology. If P0P_0 is atomic, the condition is sufficient as well. In addition, there is a finitely additive probability PP on A\mathcal{A}, such that PP0P\ll P_0 and EP(X)=0E_P(X)=0 for all XLX\in L, if and only if ess sup(X)0\text{ess sup}(X)\geq 0 for all XLX\in L.

Keywords

Cite

@article{arxiv.1012.2811,
  title  = {Finitely additive equivalent martingale measures},
  author = {Patrizia Berti and Luca Pratelli and Pietro Rigo},
  journal= {arXiv preprint arXiv:1012.2811},
  year   = {2010}
}
R2 v1 2026-06-21T16:57:54.595Z