Rough paths in idealized financial markets
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Publication:647162
DOI10.1007/s10986-011-9125-5zbMath1227.91040arXiv1005.0279WikidataQ62046692 ScholiaQ62046692MaRDI QIDQ647162
Publication date: 1 December 2011
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1005.0279
incomplete markets; continuous time; game-theoretic probability; discontinuous price paths; variation index
60G17: Sample path properties
91G80: Financial applications of other theories
91B26: Auctions, bargaining, bidding and selling, and other market models
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