Preprint

On the structure of finitely additive martingales

  • Cassese, Gianluca Istituto di Economia Politica, Università Commerciale “Luigi Bocconi”, MIlano, Italia
    2003

26 p.

English Finitely additive martingales are the counterpart of finitely additive measures over filtered probability space. We study the structure of the Yosida Hewitt decomposition in such setting and obtaing a full characterisation. Based on this result we introduce a “conditional expectation” operator for finitely additive measures which has some properties in common with ordinary conditional expectation. We address then the problem of computing the expectation of random elements generated by a given class of stochastic processes. On the basis of a notion of coherence for processes, akin to the no arbitrage principle in mathematical finance, we give conditions under which such expectation may be computed explicitely.
Language
  • English
Classification
Economics
License
License undefined
Identifiers
  • RERO DOC 9089
Persistent URL
https://susi.usi.ch/usi/documents/318009
Statistics

Document views: 13 File downloads:
  • wp0204.pdf: 3