On optimal arbitrage
From MaRDI portal
Publication:990375
DOI10.1214/09-AAP642zbMath1206.60055arXiv1010.4987MaRDI QIDQ990375
Ioannis Karatzas, Daniel Fernholz
Publication date: 1 September 2010
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1010.4987
maximum principlediffusionsarbitrageportfoliosparabolic operatorsstrict local martingalesexit measures for supermartingalesFichera drift
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Maximum principles in context of PDEs (35B50) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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