A characterization of the set of local martingale measures
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DOI: 10.1142/s0219493718500429
Abstract: We generalize the results of [1] to continuous time case by stating necessary and sufficient conditions on a set of probability measures to be the set of local martingale measures for a vector valued, locally… read more here.
Keywords: local martingale; characterization set; martingale measures; set local ... See more keywords