6 citations · 17 across the 8 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,…