A Note on Lower Bounds of Martingale Measure Densities
نویسندگان
چکیده
For a given element f ∈ L and a convex cone C ⊂ L, C∩ L + = {0} we give necessary and sufficient conditions for the existence of an element g ≥ f lying in the polar of C. This polar is taken in (L) and in L. In the context of mathematical finance the main result concerns the existence of martingale measures, whose densities are bounded from below by prescribed random variable.
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تاریخ انتشار 2005