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 such that at time the component can be thought of as a price for the asset.
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 , and if at all times such that 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 and the EMM .[citation needed]
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