We analyze the martingale selection problem of Rokhlin in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no‐arbitrage deliberations. We obtain versions of the Fundamental Theorem of Asset Pricing in models spanning frictionless markets, models with proportional transaction costs, and models for illiquid markets. In all these models, we also incorporate trading constraints.

中文翻译：

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鲁棒mar选问题及其与无套利理论的联系

我们在一个点（稳健）的环境中分析了罗克林的the选择问题。我们得出了解决该问题的条件，并显示了它与经典的无套利审议的关系。我们在无摩擦市场模型，具有成比例交易成本的模型以及流动性不佳的模型中获得了资产定价基本定理的版本。在所有这些模型中，我们还纳入了交易约束。