Orateur
Prof.
Yuri Kabanov
(Université Franche-Comté)
Description
The Cherny-Shiryaev criterion provides a description of predictable processes which are integrable with
respect to a vector-valued semimartingale in terms of its local characteristics.
We provide an example how this result can be used in the problem of existence of local martingale numéraire
in a model of financial market which has no asymptotic arbitrage opportunities of the first kind.
Auteur principal
Prof.
Yuri Kabanov
(Université Franche-Comté)
