scientific article; zbMATH DE number 5120855

MaRDI QIDQ3420671zbMATH OpenFDO

Authors Nils Chr. Framstad

Publication date 2 February 2007

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Portfolio theory (91G10) Optimal stochastic control (93E20)

Cited in

(1)

• On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes

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