No arbitrage without semimartingales

DOI10.1214/08-AAP554zbMath1172.60027arXiv0906.2318OpenAlexW3098436985MaRDI QIDQ1024894

Robert A. Jarrow, Hasanjan Sayit, Philip E. Protter

Publication date: 17 June 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.2318

zbMATH Keywords

fractional Brownian motionarbitragetime changesimple trading strategies

Mathematics Subject Classification ID

Gaussian processes (60G15) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

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Cites Work

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