On arbitrages arising with honest times

DOI10.1007/s00780-014-0231-1zbMath1353.60042arXiv1207.1759OpenAlexW2013932684WikidataQ109044693 ScholiaQ109044693MaRDI QIDQ457179

Shiqi Song, Claudio Fontana, Monique Jeanblanc-Picqué

Publication date: 26 September 2014

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

Full work available at URL: https://arxiv.org/abs/1207.1759

zbMATH Keywords

arbitrageprogressive enlargement of filtrationslocal martingale deflatorfree lunch with vanishing riskhonest time

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Economics of information (91B44) Portfolio theory (91G10)

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