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In the mathematical theory of probability, a sigma-martingale is a semimartingale with an integral representation. Sigma-martingales were introduced by C.S. Chou and M. Emery in 1977 and 1978. In financial mathematics, sigma-martingales appear in the fundamental theorem of asset pricing as an equivalent condition to no free lunch with vanishing risk (a no-arbitrage condition).
- F. Delbaen; W. Schachermayer (1998). "The Fundamental Theorem of Asset Pricing for Unbounded Stochastic Processes" (pdf). Mathematische Annalen 312: 215–250. doi:10.1007/s002080050220. Retrieved October 14, 2011.
- Delbaen, Freddy; Schachermayer, Walter. "What is... a Free Lunch?" (pdf). Notices of the AMS 51 (5): 526–528. Retrieved October 14, 2011.
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