Journal of Applied Mathematics and Decision Sciences
Volume 2006 (2006), Article ID 74864, 7 pages

Martingale measures in the market with restricted information

Yang Jianqi,1 Yan Haifeng,2 and Liu Limin3

1Department of Mathematics, Hunan University of Science and Engineering, Yongzhou, Hunan 425006, China
2School of Finance and Banking, Nanjing University of Finance and Economics, Nanjing, Jiangsu 210046, China
3Department of Mathematics, Henan Normal University, Xinxiang, Henan 453008, China

Received 7 May 2005; Accepted 31 January 2006

Copyright © 2006 Yang Jianqi et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


This paper considers the problem of the market with restricted information. By constructing a restricted information market model, the explicit relation of arbitrage and the minimal martingale measure between two different information markets are discussed. Also a link among all equivalent martingale measures under restricted information market is given.