Consistent price systems in multiasset markets

DOI10.1155/2012/687376zbMath1282.91112WikidataQ58689573 ScholiaQ58689573MaRDI QIDQ448327

Hasanjan Sayit, Florian Maris

Publication date: 6 September 2012

Published in: International Journal of Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/687376

Mathematics Subject Classification ID

91B24: Microeconomic theory (price theory and economic markets)

60H30: Applications of stochastic analysis (to PDEs, etc.)

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

91G80: Financial applications of other theories

Related Items

Absence of arbitrage in a general framework, Hedging, arbitrage and optimality with superlinear frictions, Diversity and No Arbitrage

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