On long-term arbitrage opportunities in Markovian models of financial markets

DOI10.1007/s10479-011-0892-5zbMath1255.90084MaRDI QIDQ1931649

Martin L. D. Mbele Bidima, Miklós Rásonyi

Publication date: 15 January 2013

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-011-0892-5

zbMATH Keywords

Markov chains; large deviations; asymptotic arbitrage; loss probability

Mathematics Subject Classification ID

90C15: Stochastic programming

91B70: Stochastic models in economics

60F10: Large deviations

91G80: Financial applications of other theories

Related Items

Asymptotic exponential arbitrage in the Schwartz commodity futures model, Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets, A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability

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