On the semimartingale property of discounted asset-price processes

DOI10.1016/j.spa.2011.06.010zbMath1236.91128arXiv0803.1890OpenAlexW2131995856MaRDI QIDQ719780

Eckhard Platen, Constantinos Kardaras

Publication date: 11 October 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0803.1890

zbMATH Keywords

semimartingalesnuméraire portfolioarbitrage of the first kindsupermartingale deflatorsbuy-and-hold strategiesno-short-sales constraints

Mathematics Subject Classification ID

General theory of stochastic processes (60G07) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10)

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