Consistent pricing process
A consistent pricing process is any representation of "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.
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 and the EMM.
