No Arbitrage and General Semimartingales

  title={No Arbitrage and General Semimartingales},
  author={Philip Protter and Kazuhiro Shimbo},
No free lunch with vanishing risk (NFLVR) is known to be equivalent to the existence of an equivalent martingale measure for the price process semimartingale. We give necessary conditions for such a semimartingale to have the property NFLVR. We also extend Novikov’s criterion for the stochastic exponential of a local martingale to be a martingale to the general case; that is, the case where the paths need not be continuous. 
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