Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets (Q5168328)
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scientific article; zbMATH DE number 6313162
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| English | Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets |
scientific article; zbMATH DE number 6313162 |
Statements
ASYMPTOTIC LINEAR ARBITRAGE AND UTILITY-BASED ASYMPTOTIC LINEAR ARBITRAGE IN MEAN-REVERTING FINANCIAL MARKETS (English)
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3 July 2014
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asymptotic linear arbitrage
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stochastic control in finance
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mean-reverting process
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Markov chain
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discrete-time Markov processes
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large deviations
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large deviations principle (LDP)
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0.8378714919090271
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0.8374044299125671
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0.8209067583084106
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0.7903255820274353
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