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

DOI10.12732/IJAM.V27I1.9MaRDI QIDQ5168328zbMATH OpenOpenAlexFDO

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

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)

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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

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