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Local martingale iff each component is a local martingale?
This is probably an easy question:
A local martingale is an adapted, cadlag process for which there is an increasing sequence of stopping times (going to $\infty$) such that the stopped process is a ...
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2answers
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calculate all the equivalent martingale measure
Under the assumption of no arbitrage without vanish risk, in an incomplete market $(\Omega,{\cal F}, P)$, the set of equivalent martingale measure is NOT empty, i.e. ${\cal P} = \{Q: Q \sim P\}\neq ...
