Generalized supermartingale deflators under limited information
classification
💱 q-fin.GN
math.PR
keywords
wealthagentgeneralizedinformationlimitedprocessessupermartingaleabsence
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We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual practice of taking it to consist of stochastic integrals against a semimartingale integrator. We obtain the equivalence of the boundedness in probability of the set of terminal wealth outcomes (which in turn is equivalent to the weak market viability condition of absence of arbitrage of the first kind) with the existence of at least one strictly positive deflator that makes the deflated wealth processes have a generalized supermartingale property.
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