Takaoka一个结果的另一种证明

摘要：

在Karatzas和Kardaras关于半鞅金融模型的论文中，证明了NUPBR条件是资产过程局部特征的一个性质。在Takaoka的关于NUPBR的论文中，证明了NUPBR条件等价于存在一个simga-鞅平减指数。然而，高冈的论文建立在Delbaen和Schachermayer的基本资产定价定理上，即NFLVR条件，这不是资产过程局部特征的纯粹性质。本文给出了Takaoka结果的另一种证明，它只利用资产过程的局部特征的性质。

英文摘要：

In Karatzas and Kardaras's paper on semimartingale financial models, it is proved that the NUPBR condition is a property of the local characteristic of the asset process alone. In Takaoka's paper on NUPBR, it is proved that the NUPBR condition is equivalent to the existence of a simga-martingale deflator. However, Takaoka's paper founds its proof on Delbaen and Schachermayer's fundamental asset pricing theorem, i.e. the NFLVR condition, which is not a pure property of the local characteristic of the asset process. In this paper we give an alternative proof of the result of Takaoka, which makes use only the properties of the local characteristic of the asset process.

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