Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets

DOI10.1007/s10440-014-9955-3zbMath1403.91388arXiv1406.5312OpenAlexW1481164863MaRDI QIDQ2355115

Martin L. D. Mbele Bidima, Miklós Rásonyi

Publication date: 28 July 2015

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.5312

zbMATH Keywords

Markov chainslarge deviationsexpected utilityasymptotic exponential arbitrage

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Large deviations (60F10) Financial applications of other theories (91G80)

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Cites Work

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• Markov Chains and Stochastic Stability
• Mean‐Reverting Market Model: Speculative Opportunities and Non‐Arbitrage
• Stochastic finance. An introduction in discrete time

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