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Summary I would like to pass from a sequence of probability measures whose "limit" satisfies a desired property to a new probability measure that satisfies this property. Details We work on ...

Hi to everyone, The ingredients of my problem are the following: I have a probability space $(\Omega, \mathcal{F}, \mathbb{P})$, a set (continuum cardinality) $\mathcal{Q}$ of probability measures on $...

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 P^\...