D. Rokhlin

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20042008

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

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.FA2008★ 1 cited

Kreps-Yan theorem for Banach ideal spaces

Dmitry B. Rokhlin

Let $C$ be a closed convex cone in a Banach ideal space $X$ on a measurable space with a $σ$ -finite measure. We prove that conditions $C \cap X_{+} = {0}$ and $C \supset - X_{+}$ imply th…

math.PR2008★ 6 cited

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

Dmitry B. Rokhlin

For a $d$ -dimensional stochastic process $(S_{n})_{n = 0}^{N}$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$ , up to a normalizing constant,…