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**W. Schachermayer**

Mathematical Finance, Vol. 3 (1993), pp. 217-229.

We construct a continuous bounded stochastic process $(S_t)_{t\in[0,1]}$ which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of F\"ollmer and Schweizer does not exist. This example also answers (negatively) a problem posed by I. Karatzas, J. P. Lehozcky and S. E. Shreve as well as a problem posed C. Stricker.

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