Semimartingale price systems in models with transaction costs beyond efficient friction

DOI10.1007/s00780-022-00484-9zbMath1498.91422arXiv2001.03190OpenAlexW3122719079MaRDI QIDQ2675819

Alexander Molitor, Christoph Kühn

Publication date: 26 September 2022

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2001.03190

zbMATH Keywords

semimartingalesstochastic integrationproportional transaction costsno unbounded profit with bounded riskstrategies of infinite variation

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Integrals of Riemann, Stieltjes and Lebesgue type (26A42) Stochastic integrals (60H05) Financial markets (91G15)

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• Game options
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