Rásonyi, Miklós and Sayit, H. (2018) Sticky processes, local and true martingales. BERNOULLI, 24 (4A). pp. 2429-2460. ISSN 1350-7265
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Abstract
We prove that for a so-called sticky process S there exists an equivalent probability Q and a Q-martingale S that is arbitrarily close to S in Lp(Q) norm. For continuous S, S can be chosen arbitrarily close to S in supremum norm. In the case where S is a local martingale we may choose Q arbitrarily close to the original probability in the total variation norm. We provide examples to illustrate the power of our results and present an application in mathematical finance. © 2018 ISI/BS.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | martingales; Consistent price systems; ILLIQUID MARKETS; Sticky processes; Processes with jumps; |
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 12 Jan 2019 12:06 |
| Last Modified: | 12 Jan 2019 12:06 |
| URI: | http://real.mtak.hu/id/eprint/89827 |
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