A separating hyperplane theorem, the fundamental theorem of asset pricing, and Markov's principle
نویسندگان
چکیده
We prove constructively that every uniformly continuous convex function f : X → R+ has positive infimum, where X is the convex hull of finitely many vectors. Using this result, we prove that a separating hyperplane theorem, the fundamental theorem of asset pricing, and Markov’s principle are constructively equivalent. This is the first time that important theorems are classified into Markov’s principle within constructive reverse mathematics.
منابع مشابه
A Non-commutative Version of the Fundamental Theorem of Asset Pricing
In this note, a non-commutative analogue of the fundamental theorem of asset pricing in mathematical finance is proved.
متن کاملA note on arbitrage, approximate arbitrage and the fundamental theorem of asset pricing
We provide a critical analysis of the proof of the fundamental theorem of asset pricing given in the paper Arbitrage and approximate arbitrage: the fundamental theorem of asset pricing by B. Wong and C.C. Heyde (Stochastics, 2010) in the context of incomplete Itô-process models. We show that their approach can only work in the known case of a complete nancial market model and give an explicit c...
متن کاملA Model-free Version of the Fundamental Theorem of Asset Pricing and the Super-replication Theorem
We propose a Fundamental Theorem of Asset Pricing and a Super-Replication Theorem in a modelindependent framework. We prove these theorems in the setting of finite, discrete time and a market consisting of a risky asset S as well as options written on this risky asset. As a technical condition, we assume the existence of a traded option with a super-linearly growing payoff-function, e.g., a pow...
متن کاملThe Fundamental Theorem of Asset Pricing with either Frictionless or Frictional Security Markets
This paper studies asset pricing in arbitrage-free financial markets in general state space (both for frictionless market and for market with transaction cost). The mathematical formulation is based on a locally convex topological space for weakly arbitrage-free securities’ structure and a separable Banach space for strictly arbitragefree securities’ structure. We establish, for these two types...
متن کاملThe Basic Theorem and its Consequences
Let T be a compact Hausdorff topological space and let M denote an n–dimensional subspace of the space C(T ), the space of real–valued continuous functions on T and let the space be equipped with the uniform norm. Zukhovitskii [7] attributes the Basic Theorem to E.Ya.Remez and gives a proof by duality. He also gives a proof due to Shnirel’man, which uses Helly’s Theorem, now the paper obtains a...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Ann. Pure Appl. Logic
دوره 167 شماره
صفحات -
تاریخ انتشار 2016