Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets

DOI10.12732/IJAM.V27I1.9zbMATH Open1291.91246OpenAlexW2322807545MaRDI QIDQ5168328FDOQ5168328

Authors: Martin L. D. Mbele Bidima 

Publication date: 3 July 2014

Published in: International Journal of Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.12732/ijam.v27i1.9

Recommendations

• Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
• Time-consistent asymptotic exponential arbitrage with small probable maximum loss
• Asymptotic arbitrage and large deviations
• scientific article; zbMATH DE number 1144392
• Asymptotic arbitrage in large financial markets

zbMATH Keywords

Markov chainlarge deviationsmean-reverting processstochastic control in financediscrete-time Markov processesasymptotic linear arbitragelarge deviations principle (LDP)

Mathematics Subject Classification ID

Large deviations (60F10) Discrete-time Markov processes on general state spaces (60J05) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cited In (4)

• Time-consistent asymptotic exponential arbitrage with small probable maximum loss
• A note on asymptotic exponential arbitrage with exponentially decaying failure probability
• Asymptotic exponential arbitrage and utility-based asymptotic arbitrage in Markovian models of financial markets
• Mean-reverting discrete time market models: speculative opportunities and absence of arbitrage

This page was built for publication: Asymptotic linear arbitrage and utility-based asymptotic linear arbitrage in mean-reverting financial markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5168328)