7
votes
3answers
272 views

Rosenthal like inequality for weak $\mathbb L^p$-norms

Let $p$ be a real number greater than $1$. It is well known (see Hall and Heyde's Martingale limit theory and its applications, Theorem 2.10) that there exists a constant $C_p$ such that if ...
7
votes
2answers
651 views

Compactness of the set of densities of equivalent martingale measures

Consider an incomplete market $(\Omega,\mathcal F,\mathbb P)$ driven by a semimartingale $S=(S_t)_{t\in[0,T]}$. Under the no free lunch under vanishing risk (NFLVR) assumption, the set $\mathcal ...