Artikel
The Riesz representation theorem and weak∗ compactness of semimartingales
We show that the sequential closure of a family of probability measures on the canonical space of càdlàg paths satisfying Stricker’s uniform tightness condition is a weak∗ compact set of semimartingale measures in the dual pairing of bounded continuous functions and Radon measures, that is, the dual pairing from the Riesz representation theorem under topological assumptions on the path space. Similar results are obtained for quasi- and supermartingales under analogous conditions. In particular, we give a full characterisation of the strongest topology on the Skorokhod space for which these results are true.
- Sprache
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Englisch
- Erschienen in
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Journal: Finance and Stochastics ; ISSN: 1432-1122 ; Volume: 24 ; Year: 2020 ; Issue: 4 ; Pages: 827-870 ; Berlin, Heidelberg: Springer
- Klassifikation
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Wirtschaft
Distribution: General
Mathematical Methods
Contingent Pricing; Futures Pricing; option pricing
- Thema
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Skorokhod space
Meyer–Zheng topology
- Ereignis
-
Geistige Schöpfung
- (wer)
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Kiiski, Matti
- Ereignis
-
Veröffentlichung
- (wer)
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Springer
- (wo)
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Berlin, Heidelberg
- (wann)
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2020
- DOI
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doi:10.1007/s00780-020-00432-5
- Letzte Aktualisierung
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10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Artikel
Beteiligte
- Kiiski, Matti
- Springer
Entstanden
- 2020
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