Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets

DOI10.1007/S10440-014-9955-3zbMath1403.91388arXiv1406.5312OpenAlexW1481164863MaRDI QIDQ2355115

Martin L. D. Mbele Bidima, Miklós Rásonyi

Publication date: 28 July 2015

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.5312

zbMATH Keywords

Markov chainslarge deviationsexpected utilityasymptotic exponential arbitrage

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Large deviations (60F10) Financial applications of other theories (91G80)

Related Items (2)

A jump-diffusion model for pricing electricity under price-cap regulation ⋮ Asymptotic exponential arbitrage in the Schwartz commodity futures model

Cites Work

• Unnamed Item
• Unnamed Item
• Asymptotic arbitrage and large deviations
• Asymptotic arbitrage in large financial markets
• Large deviations asymptotics and the spectral theory of multiplicatively regular Markov proces\-ses
• Spectral theory and limit theorems for geometrically ergodic Markov processes
• On long-term arbitrage opportunities in Markovian models of financial markets
• A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability
• Markov Chains and Stochastic Stability
• Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
• Stochastic finance. An introduction in discrete time

This page was built for publication: Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets