A note on asymptotic exponential arbitrage with exponentially decaying failure probability (Q2854082)

The main result of the paper states that if a price process \(S\) is a continuous semimartingale and satisfies a large deviations estimate (a particular growth condition on the mean-variance tradeoff of \(S\)), then \(S\) allows for asymptotic exponential arbitrage with exponentially decaying failure probability. This statement is a proof of a result conjectured by \textit{H. Föllmer} and \textit{W. Schachermayer} [Math. Financ. Econ. 1, No. 3--4, 213--249 (2008; Zbl 1153.91015)], but, in contrast to the latest conjecture, the authors' result does not assume that \(S\) is a diffusion and does not need any ergodicity assumption.