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...
Váldodahkkit: | , |
---|---|
Materiálatiipa: | Journal article |
Almmustuhtton: |
Institute of Mathematical Statistics
2019
|