On optimal arbitrage

DOI10.1214/09-AAP642zbMath1206.60055arXiv1010.4987MaRDI QIDQ990375

Ioannis Karatzas, Daniel Fernholz

Publication date: 1 September 2010

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1010.4987

zbMATH Keywords

maximum principle; diffusions; arbitrage; portfolios; parabolic operators; strict local martingales; exit measures for supermartingales; Fichera drift

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

35B50: Maximum principles in context of PDEs

60G44: Martingales with continuous parameter

91G10: Portfolio theory

Related Items

HEDGING UNDER ARBITRAGE, Outperforming the market portfolio with a given probability, Robust maximization of asymptotic growth, Diversity and arbitrage in a regulatory breakup model, Optimal arbitrage under model uncertainty, Rational asset pricing bubbles and portfolio constraints, Deterministic criteria for the absence of arbitrage in~one-dimensional diffusion models, Strict local martingale deflators and valuing American call-type options

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