context
MathFin/Foundations/MarketCompleteness.lean proves one direction of the second FTAP, and says so in
its "scope: one direction only" block. measure_eq_of_pricesGainsAtZero shows every gains-neutral
measure dominated by μ agrees with μ on 𝓕ᴮ_T, and emm_unique_of_complete is the corollary on
ContinuousMarket.IsEMM. the converse, unique martingale measure ⟹ complete, is absent.
task
prove the converse. the standard route is the extreme-point characterisation of the set of martingale
measures (jacod–yor): a martingale measure is an extreme point of that set exactly when the stable
subspace generated by the price process is dense in L¹, and a singleton set is trivially a set of
extreme points, so uniqueness gives density and hence replication.
concretely that means:
- the set of martingale measures as a convex set, with the extreme-point predicate on it.
- the stable subspace generated by a price process, and the jacod–yor equivalence.
- the converse read off from a singleton set.
the honest note in MarketCompleteness.lean:60-67 is that this is additive: a new characterisation of
the EMM set, not a rewrite of what is there. worth re-reading before starting, since it also records why
the forward direction had to hypothesise PricesGainsAtZero: the missing ∫ φ dS is the same gap, and
the converse will meet it too.
acceptance criteria
pointers
MathFin/Foundations/MarketCompleteness.lean, Foundations/ContinuousMarket.lean (IsEMM, and the
deliberate absence of ∫ φ dS), Foundations/MartingaleRepresentation.lean.
Foundations/FTAPDiscrete.lean and FTAPOnePeriodVector.lean for the finite-state shape of the
statement.
context
MathFin/Foundations/MarketCompleteness.leanproves one direction of the second FTAP, and says so inits "scope: one direction only" block.
measure_eq_of_pricesGainsAtZeroshows every gains-neutralmeasure dominated by
μagrees withμon𝓕ᴮ_T, andemm_unique_of_completeis the corollary onContinuousMarket.IsEMM. the converse, unique martingale measure ⟹ complete, is absent.task
prove the converse. the standard route is the extreme-point characterisation of the set of martingale
measures (jacod–yor): a martingale measure is an extreme point of that set exactly when the stable
subspace generated by the price process is dense in
L¹, and a singleton set is trivially a set ofextreme points, so uniqueness gives density and hence replication.
concretely that means:
the honest note in
MarketCompleteness.lean:60-67is that this is additive: a new characterisation ofthe EMM set, not a rewrite of what is there. worth re-reading before starting, since it also records why
the forward direction had to hypothesise
PricesGainsAtZero: the missing∫ φ dSis the same gap, andthe converse will meet it too.
acceptance criteria
fullentry for the converse, or an honest re-scoping if the∫ φ dSgap blocks it.MarketCompleteness.leanupdated so it no longer says the converse isabsent.
pointers
MathFin/Foundations/MarketCompleteness.lean,Foundations/ContinuousMarket.lean(IsEMM, and thedeliberate absence of
∫ φ dS),Foundations/MartingaleRepresentation.lean.Foundations/FTAPDiscrete.leanandFTAPOnePeriodVector.leanfor the finite-state shape of thestatement.