Density of the set of probability measures with the martingale representation property
Let ψ be a multidimensional random variable. We show that the set of probability measures Q such that the Q-martingale SQt=EQ[ψ|Ft] has the Martingale Representation Property (MRP) is either empty or dense in L∞-norm. The proof is based on a related result involving analytic fields of terminal condi...
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| Format: | Journal article |
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Institute of Mathematical Statistics
2019
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