We study the stability of several no-arbitrage conditions with respect to
absolutely continuous, but not necessarily equivalent, changes of measure. We
first consider models based on continuous semimartingales and show that
no-arbitrage conditions weaker than NA and NFLVR are always stable. Then, in
the context of general semimartingale models, we show that an absolutely
continuous change of measure does never introduce arbitrages of the first kind
as long as the change of measure density process can reach zero only
continuously.Comment: 14 pages. Arbitrage, Credit and Informational Risks (C. Hillairet, M.
Jeanblanc and Y. Jiao, eds.), Peking University Series in Mathematics, Vol.
6, World Scientific, 201
