Consistent pricing process

A consistent pricing process (or CPP) $Z=(Z_{t})_{t=0}^{T}$ in a market with d-assets is an adapted process in $\mathbb {R} ^{d}$ if Z is a martingale with respect to the physical probability measure $P$, and if $Z_{t}\in K_{t}^{*}\backslash \{0\}\forall t$ such that $K_{t}$ is the solvency cone for the market at time $t$.

The CPP plays the role of an Equivalent Martingale Measure in markets with transaction costs. In particular, there exists a 1-to-1 correspondence between the CPP $Z$ and the EMM $Q$.