A Counterexample to Several Problems In the Theory of Asset Pricing
构造了一个连续有界随机过程，它存在等价鞅测度，但Föllmer和Schweizer意义下的最小鞅测度不存在，从而否定了Karatzas等人和Strieker提出的问题。
We construct a continuous bounded stochastic process ( S t ,) 1E[0,1] which admits an equivalent martingale measure but such that the minimal martingale measure in the sense of Föllmer and Schweizer does not exist. This example also answers (negatively) a problem posed by Karatzas, Lehozcky, and Shreve as well as a problem posed by Strieker.