Market viability via absence of arbitrage of the first kind. (English) Zbl 1254.91743
Summary: We show that in a semimartingale financial market model there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.
MSC:
| 91G50 | Corporate finance (dividends, real options, etc.) |
| 60G44 | Martingales with continuous parameter |
| 60H99 | Stochastic analysis |
| 91B70 | Stochastic models in economics |
Keywords:
arbitrage of the first kind; cheap thrills; fundamental theorem of asset pricing; equivalent local martingale deflators; semimartingales; predictable characteristicsReferences:
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