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
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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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