Related papers: Finitely additive equivalent martingale measures

Let $L$ be a convex cone of real random variables on the probability space $(\Omega,\mathcal{A},P_0)$. The existence of a probability $P$ on $\mathcal{A}$ such that $$ P \sim P_0,\quad E_P \abs{X}< \infty\, \text{ and } \, E_P(X) \leq 0\,…

By the additive property, we mean a condition under which $L^p$ spaces over finitely additive measures are complete. Basile and Rao gives a necessary and sufficient condition that a finite sum of finitely additive measures has the additive…

We say that a finitely additive probability measure $\mu$ on $\omega$ is \emph{a P-measure} if it vanishes on points and for each decreasing sequence $(E_n)$ of infinite subsets of $\omega$ there is $E\subseteq\omega$ such that…

Some classical mass transportation problems are investigated in a finitely additive setting. Let $\Omega=\prod_{i=1}^n\Omega_i$ and $\mathcal{A}=\otimes_{i=1}^n\mathcal{A}_i$, where $(\Omega_i,\mathcal{A}_i,\mu_i)$ is a ($\sigma$-additive)…

We present a necessary and sufficient condition for a Boolean algebra to carry a finitely additive measure.

We discuss two ways to construct standard probability measures, called push-down measures, from internal probability measures. We show that the Wasserstein distance between an internal probability measure and its push-down measure is…

Let $L^0$ be the vector space of all (equivalence classes of) real-valued random variables built over a probability space $(\Omega, \mathcal{F}, P)$, equipped with a metric topology compatible with convergence in probability. In this work,…

We give a new characterization for mutual absolute continuity of probability measures on a filtered space. For this, we introduce a martingale limit $M$ that measures the similarity between the tails of the probability measures restricted…

We investigate the possibility of replacing the topology of convergence in probability with convergence in $L^1$. A characterization of continuous linear functionals on the space of measurable functions is also obtained.

In a previous work, we associated with any submartingale $X$ of class $(\Sigma)$, defined on a filtered probability space $(\Omega, \mathcal{F}, \mathbb{P}, (\mathcal{F}_t)_{t \geq 0})$ satisfying some technical conditions, a…

We give a necessary and sufficient condition on a sequence of functions on a set $\Omega$ under which there is a measure on $\Omega$ which renders the given sequence of functions a martingale. Further such a measure is unique if we impose a…

For a given element $f\in L^1$ and a convex cone $C\subset L^\infty$, $C\cap L^\infty_+=\{0\}$ we give necessary and sufficient conditions for the existence of an element $g\ge f$ lying in the polar of $C$. This polar is taken in…

This work aims at a deeper understanding of the mathematical implications of the economically-sound condition of absence of arbitrages of the first kind in a financial market. In the spirit of the Fundamental Theorem of Asset Pricing…

Let $\eta_{1},\eta_2,...$ be independent (not necessarily identically distributed) zero-mean random variables (r.v.'s) such that $|\eta_i|\le1$ almost surely for all $i$, and let $Z$ stand for a standard normal r.v. Let $a_1,a_2,...$ be any…

Certain countably and finitely additive measures can be associated to a given nonnegative supermartingale. Under weak assumptions on the underlying probability space, existence and (non)uniqueness results for such measures are proven.

We extend a result of Lyons (2016) from fractional tiling of finite graphs to a version for infinite random graphs. The most general result is as follows. Let $\bf P$ be a unimodular probability measure on rooted networks $(G, o)$ with…

The probabilistic type spaces in the sense of Harsanyi [Management Sci. 14 (1967/68) 159--182, 320--334, 486--502] are the prevalent models used to describe interactive uncertainty. In this paper we examine the existence of a universal type…

The relationship between Popper spaces (conditional probability spaces that satisfy some regularity conditions), lexicographic probability systems (LPS's), and nonstandard probability spaces (NPS's) is considered. If countable additivity is…

In this article, we conduct a detailed study of \emph{finitely additive measures} (fams) in the context of Boolean algebras, focusing on three specific topics: freeness and approximation, existence and extension criteria, and integration…

We prove that for a so-called sticky process $S$ there exists an equivalent probability $Q$ and a $Q$-martingale $\tilde{S}$ that is arbitrarily close to $S$ in $L^p(Q)$ norm. For continuous $S$, $\tilde{S}$ can be chosen arbitrarily close…