On equivalent (supersub)‎ martingale measure

Abstract EN

In this paper we proved if we have two process, Z and Z′ such that Z′ is super martingale and Z is sub-martingale, we can find a measure Q equivalent to given measure P such that there exist another process Z* lying between them (Z ≤ Z* ≤ Z′) and Z * is martingale with respect to measure Q and {Ft}.Also we proved under these condition there exist a corresponding between the set of all equivalent measure and the set of all convex functional.