Equivalent or absolutely continuous probability measures with given marginals
Keyword(s):
AbstractLet (X,A) and (Y,B) be measurable spaces. Supposewe are given a probability α on A, a probability β on B and a probability μ on the product σ-field A ⊗ B. Is there a probability ν on A⊗B, with marginals α and β, such that ν ≪ μ or ν ~ μ ? Such a ν, provided it exists, may be useful with regard to equivalent martingale measures and mass transportation. Various conditions for the existence of ν are provided, distinguishing ν ≪ μ from ν ~ μ.
2012 ◽
Vol 49
(3)
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pp. 838-849
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Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets
1997 ◽
Vol 27
(3)
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pp. 283-294
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1998 ◽
Vol 30
(01)
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pp. 256-268
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1996 ◽
Vol 69
(1)
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pp. 262-277
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2010 ◽
Vol 26
(1)
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pp. 46-57
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2011 ◽
Vol 2011
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pp. 1-14
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