A consistent pricing process (CPP) is any representation of (frictionless) "prices" of assets in a market.
It is a stochastic process in a filtered probability space
component can be thought of as a price for the
Mathematically, a CPP
in a market with d-assets is an adapted process in
if Z is a martingale with respect to the physical probability measure
is the solvency cone for the market at time
[1][2] The CPP plays the role of an equivalent martingale measure in markets with transaction costs.
[3] In particular, there exists a 1-to-1 correspondence between the CPP
[citation needed]
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