DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS (Q4608110): Difference between revisions

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scientific article; zbMATH DE number 6850641

Language	Label	Description	Also known as
English	DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS	scientific article; zbMATH DE number 6850641

Statements

instance of

scholarly article

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title

DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS (English)

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zbMATH Open document ID

1395.91531

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DOI

10.1142/S0219024918500024

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author

David Criens

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published in

International Journal of Theoretical and Applied Finance

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publication date

15 March 2018

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full work available at URL

https://arxiv.org/abs/1609.01621

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Mathematics Subject Classification ID

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arbitrage

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equivalent (local) martingale measure

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multi-dimensional time-inhomogeneous diffusion

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martingale problem

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MaRDI profile type

MaRDI publication profile

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arXiv ID

1609.01621

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cites work

Borel Measurability in Linear Algebra

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A generalization of a lemma of bellman and its application to uniqueness problems of differential equations

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General Arbitrage Pricing Model: I – Probability Approach

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Q4892148

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Measure Theory

0 references

Local martingales, bubbles and option prices

0 references

A general version of the fundamental theorem of asset pricing

0 references

The fundamental theorem of asset pricing for unbounded stochastic processes

0 references

No arbitrage condition for positive diffusion price processes

0 references

Q4531968

0 references

On optimal arbitrage

0 references

WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

0 references

A comparison theorem for solutions of stochastic differential equations and its applications

0 references

Calcul stochastique et problèmes de martingales

0 references

Q4778955

0 references

Distribution of the time to explosion for one-dimensional diffusions

0 references

Q4002114

0 references

Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations

0 references

Q3042112

0 references

Q4522393

0 references

THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS

0 references

Q5585820

0 references

Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models

0 references

Q4385192

0 references

Q4318497

0 references

No Arbitrage and General Semimartingales

0 references

Q4226355

0 references

Q4492756

0 references

Q4508926

0 references

HEDGING UNDER ARBITRAGE

0 references

Q3862204

0 references

On the uniqueness of solutions of stochastic differential equations

0 references

Q4225849

0 references

OpenAlex ID

W2765496886

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:4608110

@@ Property / cites work @@
+Borel Measurability in Linear Algebra
@@ Property / cites work: Borel Measurability in Linear Algebra / rank @@
+Normal rank
@@ Property / cites work @@
+A generalization of a lemma of bellman and its application to uniqueness problems of differential equations
+Normal rank
@@ Property / cites work @@
+General Arbitrage Pricing Model: I – Probability Approach
+Normal rank
@@ Property / cites work @@
+Q4892148
@@ Property / cites work: Q4892148 / rank @@
+Normal rank
@@ Property / cites work @@
+Measure Theory
@@ Property / cites work: Measure Theory / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+A general version of the fundamental theorem of asset pricing
+Normal rank
@@ Property / cites work @@
+The fundamental theorem of asset pricing for unbounded stochastic processes
+Normal rank
@@ Property / cites work @@
+No arbitrage condition for positive diffusion price processes
+Normal rank
@@ Property / cites work @@
+Q4531968
@@ Property / cites work: Q4531968 / rank @@
+Normal rank
@@ Property / cites work @@
+On optimal arbitrage
@@ Property / cites work: On optimal arbitrage / rank @@
+Normal rank
@@ Property / cites work @@
+WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS
+Normal rank
@@ Property / cites work @@
+A comparison theorem for solutions of stochastic differential equations and its applications
+Normal rank
@@ Property / cites work @@
+Calcul stochastique et problèmes de martingales
@@ Property / cites work: Calcul stochastique et problèmes de martingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4778955
@@ Property / cites work: Q4778955 / rank @@
+Normal rank
@@ Property / cites work @@
+Distribution of the time to explosion for one-dimensional diffusions
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Ergodic Properties of Recurrent Diffusion Processes and Stabilization of the Solution to the Cauchy Problem for Parabolic Equations
+Normal rank
@@ Property / cites work @@
+Q3042112
@@ Property / cites work: Q3042112 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4522393
@@ Property / cites work: Q4522393 / rank @@
+Normal rank
@@ Property / cites work @@
+THE TWO FUNDAMENTAL THEOREMS OF ASSET PRICING FOR A CLASS OF CONTINUOUS-TIME FINANCIAL MARKETS
+Normal rank
@@ Property / cites work @@
+Q5585820
@@ Property / cites work: Q5585820 / rank @@
+Normal rank
@@ Property / cites work @@
+Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models
+Normal rank
@@ Property / cites work @@
+Q4385192
@@ Property / cites work: Q4385192 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4318497
@@ Property / cites work: Q4318497 / rank @@
+Normal rank
@@ Property / cites work @@
+No Arbitrage and General Semimartingales
@@ Property / cites work: No Arbitrage and General Semimartingales / rank @@
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4492756
@@ Property / cites work: Q4492756 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4508926
@@ Property / cites work: Q4508926 / rank @@
+Normal rank
@@ Property / cites work @@
+HEDGING UNDER ARBITRAGE
@@ Property / cites work: HEDGING UNDER ARBITRAGE / rank @@
+Normal rank
@@ Property / cites work @@
+Q3862204
@@ Property / cites work: Q3862204 / rank @@
+Normal rank
@@ Property / cites work @@
+On the uniqueness of solutions of stochastic differential equations
+Normal rank
@@ Property / cites work @@
+Q4225849
@@ Property / cites work: Q4225849 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2765496886
@@ Property / OpenAlex ID: W2765496886 / rank @@
+Normal rank