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20042008
most citedLower bounds of martingale measure densities in the Dalang-Morton-Willinger theorem

6 citations · 14 across the 5 of their papers we have counts for

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math.PR2008★ 5 cited

A proof of the Dalang-Morton-Willinger theorem

Dmitry B. Rokhlin

We give a new proof of the Dalang-Morton-Willinger theorem, relating the no-arbitrage condition in stochastic securities market models to the existence of an equivalent martingale…

math.PR2008★ 6 cited

Lower bounds of martingale measure densities in the Dalang-Morton-Willinger theorem

Dmitry B. Rokhlin

For a -dimensional stochastic process we obtain criteria for the existence of an equivalent martingale measure, whose density , up to a normalizing constant,…