**Walter Schachermayer**

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## A Simple Counter-Example to Several Problems in the Theory of Asset Pricing, which arises in many incomplete markets.

**F. Delbaen, W. Schachermayer**

Mathematical Finance, Vol. 8 (1998), pp. 1-11.

### Abstract:

We give an easy example of two strictly positive local martingales
which fail to be uniformly integrable, but such that their product is a
uniformly integrable martingale. The example simplifies an earlier example
given by the second author. We give applications in Mathematical Finance
and we show that the phenomenon is present in many incomplete markets.

### Preprints:

[PostScript (184 k)] [PS.gz (73 k)] [PDF (215 k)]

Publications marked with have appeared in refereed journals.

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