Tolerance to arbitrage

DOI10.1016/S0304-4149(98)00025-8zbMath0934.91022OpenAlexW2169672610WikidataQ127884297 ScholiaQ127884297MaRDI QIDQ1805785

Donna Mary Salopek

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(98)00025-8

zbMATH Keywords

fractional Brownian motionarbitrage\(p\)-variationsecurity market model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Sample path properties (60G17)

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Cites Work

• Martingales and stochastic integrals in the theory of continuous trading
• Differential equations driven by rough signals. I: An extension of an inequality of L. C. Young
• Sample functions of the Gaussian process
• An inequality of the Hölder type, connected with Stieltjes integration
• Arbitrage with Fractional Brownian Motion
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