Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/81124
Authors: 
Beißner, Patrick
Year of Publication: 
2012
Series/Report no.: 
Working Papers, Institute of Mathematical Economics 464
Abstract: 
We consider fundamental questions of arbitrage pricing arising when the uncertainty model is given by a set of possible mutually singular probability measures. With a single probability model, essential equivalence between the absence of arbitrage and the existence of an equivalent martingale measure is a folk theorem, see Harrison and Kreps (1979). We establish a microeconomic foundation of sublinear price systems and present an extension result. In this context we introduce a prior dependent notion of marketed spaces and viable price systems. We associate this extension with a canonically altered concept of equivalent symmetric martingale measure sets, in a dynamic trading framework under absence of prior depending arbitrage. We prove the existence of such sets when volatility uncertainty is modeled by a stochastic di erential equation, driven by Peng's G-Brownian motions.
Subjects: 
mutually singular priors
uncertain volatility
sublinear expectation
viability of sublinear price systems
arbitrage
equivalent symmetric martingale measures set (EsMM set)
symmetric martingales
Girsanov for G-Brownian motion
JEL: 
G13
G14
D46
D52
C62
Document Type: 
Working Paper

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