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Walter Schachermayer

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. [R]

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:

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Publications marked with [R] have appeared in refereed journals.

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