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Market viability via absence of arbitrage of the first kind

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Abstract

It is shown that, in a semimartingale financial market model, there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

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Acknowledgements

The author would like to thank Yuri Kabanov for fruitful conversations that significantly helped in formulating and proving the results of this paper. Two anonymous referees provided invaluable help in the presentation of the paper.

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  1. Mathematics and Statistics Department, Boston University, 111 Cummington Street, Boston, MA, 02215, USA

    Constantinos Kardaras

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  1. Constantinos Kardaras
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Correspondence to Constantinos Kardaras.

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Kardaras, C. Market viability via absence of arbitrage of the first kind. Finance Stoch 16, 651–667 (2012). https://doi.org/10.1007/s00780-012-0172-5

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  • DOI: https://doi.org/10.1007/s00780-012-0172-5

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