Frittelli, Marco - In: Mathematical Finance 10 (2000) 1, pp. 39-52
Let χ be a family of stochastic processes on a given filtered probability space (Ω, "F", ("F"<sub>"t"</sub>)<sub>"t" is an element of "T"</sub>, "P") with "T"⊆R<sub>+</sub>. Under the assumption that the set "M"<sub>"e"</sub> of equivalent martingale measures for χ is not empty, we give sufficient conditions for the existence...
