30 novembre 2015 à 2 décembre 2015
Angers - France
Fuseau horaire Europe/Paris

On one application of the Cherny-Shiryaev criterion of stochastic integrability

1 déc. 2015, 11:50
40m
Angers - France

Angers - France

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)

Documents de présentation

Aucun document.