State tameness: a new approach for credit constrains

DOI10.1214/ECP.V9-1102zbMath1080.91038arXivmath/0305274OpenAlexW1996267146MaRDI QIDQ1768216

Jaime A. Londoño

Publication date: 14 March 2005

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0305274

zbMATH Keywords

asset pricingarbitragecontingent claimssecurity prices

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items (5)

Duesenberry Equilibrium and Heterogenous Agents ⋮ State-dependent utilities and incomplete markets ⋮ State-Dependent Utility ⋮ Diffusion-Based Models for Financial Markets Without Martingale Measures ⋮ WEAK AND STRONG NO-ARBITRAGE CONDITIONS FOR CONTINUOUS FINANCIAL MARKETS

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