A minimal P-complete extension of the sigma-algebra makes L^∞(P) the dual of the space of signed measures absolutely continuous w.r.t. at least one member of P.
Quantitative Halmos-Savage theorems and robust large financial markets
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abstract
We establish a quantitative version of the classical Halmos-Savage Theorem for convex, potentially non-dominated sets of probability measures and its dual counterpart, generalizing previous quantitative versions. These results are then used to derive robust versions of the fundamental theorem of asset pricing (FTAP) in large financial markets in a one-period setting, characterizing the absence of arbitrage under Knightian uncertainty. To this end, we consider robust formulations of no asymptotic arbitrage of first kind (NAA1), which is the large market analogue of ``No unbounded profit with bounded risk'' (NUPBR), as well as no asymptotic arbitrage of second kind (NAA2). Finally, we characterize asymptotic arbitrage of first and second kind in the robust one-period binomial model in terms of the model parameters.
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math.PR 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
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Can the $L^1$-$L^\infty$ duality be restored for non-dominated families of probability measures?
A minimal P-complete extension of the sigma-algebra makes L^∞(P) the dual of the space of signed measures absolutely continuous w.r.t. at least one member of P.