Arbitrage possibilities in Bessel processes and their relations to local martingales

DOI10.1007/BF01192466zbMath0830.90008OpenAlexW2092120257MaRDI QIDQ1895852

Freddy Delbaen, Walter Schachermayer

Publication date: 30 January 1996

Published in: Probability Theory and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01192466

zbMATH Keywords

trading strategies three-dimensional Bessel process arbitrary in foreign exchange rates

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Applications of operator theory in optimization, convex analysis, mathematical programming, economics (47N10)

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