2015/04/01 by Hyungbin Park, Park, Hyungbin
Economics, Econometrics and Finance · Mathematics · #Complex Systems and Time Series Analysis #FOS: Economics and business #FOS: Mathematics #Financial Risk and Volatility Modeling #Mathematical Finance (q-fin.MF) #Probability (math.PR) #Stochastic processes and financial applications #math.PR #q-fin.MF
paper · pdf · doi:10.48550/arxiv.1504.00276
arxiv created 2015/04/01 · openalex publication_date 2015/04/01 · arxiv updated 2015/04/02 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
The purpose of this article is to describe all possible beliefs of market participants on objective measures under Markovian environments when a risk-neutral measure is given. To achieve this, we employ the Martin integral representation of Markovian pricing kernels. Then, we offer economic and financial implications of this representation. This representation is useful to analyze the long-term behavior of the state variable in the market. The Ross recovery theorem and the long-term behavior of cash flows are discussed as applications.