摘要翻译：
考虑了一个金融市场模型，其中代理人使用实际的购买和持有策略组合进行交易。对折现资产价格过程作了最小的假设--特别是，不假设半艺术属性。通过一个自然的市场生存假设，即不存在第一类套利，我们建立了折现资产价格必须是半线性的。在一个稍微特殊的情况下，我们在资产定价基本定理的一个弱化版本中推广了前面的结果，该基本定理涉及严格正的上鞅平减指数，而不是等价鞅测度。
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英文标题：
《On the semimartingale property of discounted asset-price processes》
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作者：
Constantinos Kardaras, Eckhard Platen
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最新提交年份：
2009
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  A financial market model where agents trade using realistic combinations of buy-and-hold strategies is considered. Minimal assumptions are made on the discounted asset-price process - in particular, the semimartingale property is not assumed. Via a natural market viability assumption, namely, absence of arbitrages of the first kind, we establish that discounted asset-prices have to be semimartingales. In a slightly more specialized case, we extend the previous result in a weakened version of the Fundamental Theorem of Asset Pricing that involves strictly positive supermartingale deflators rather than Equivalent Martingale Measures.
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PDF链接：
https://arxiv.org/pdf/0803.1890