Consistent price systems for bounded processes

MaRDI QIDQ2787497zbMATH OpenFDO

Authors Eric Mbakop, Hasanjan Sayit, Florian Maris

Publication date 4 March 2016

Published in Communications on Stochastic Analysis (Search for Journal in Brave)

Mathematics Subject Classification ID

Sample path properties (60G17) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Microeconomic theory (price theory and economic markets) (91B24) Portfolio theory (91G10)

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Cited in

(9)

• A globally and universally stable price adjustment process
• Consistent price systems and face-lifting pricing under transaction costs
• Sticky Continuous Processes have Consistent Price Systems
• Conditional full support for the Brownian bridge
• Consistent price systems in multiasset markets
• Absence of arbitrage in a general framework
• TWO PROCESSES FOR TWO PRICES
• On the existence of consistent price systems
• Consistent price systems for subfiltrations

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