Short Communications

On Monotone Extension of Linear Continuous Functionals

Yu. A. Rozanov

Steklov Mathematical Institute, Russian Academy of Sciences

Abstract: A few simple notes are made in relation to the so-called fundamental theorem of mathematical finance; in particular, a simple counterexample to the martingale measure existence is given via the corresponding monotone linear continuous functional which has no monotone extensions.

Keywords: dominating extension, Farkas lemma, martingale probability measure.

Language: English

DOI: 10.4213/tvp3830

 English version: Theory of Probability and its Applications, 2002, 46:4, 747–749

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