Free lunch large financial markets with continuous price processes

DOI10.1214/AOAP/1069786507zbMath1060.91064OpenAlexW2084748555MaRDI QIDQ1429114

Irene Klein

Publication date: 30 March 2004

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1069786507

zbMATH Keywords

martingale measuresno asymptotic free lunch

Mathematics Subject Classification ID

Theorems of Hahn-Banach type; extension and lifting of functionals and operators (46A22) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Duality and reflexivity in normed linear and Banach spaces (46B10)

Related Items (6)

Maximizing expected utility in the arbitrage pricing model ⋮ Asymptotic arbitrage in large financial markets with friction ⋮ Large Financial Markets, Discounting, and No Asymptotic Arbitrage ⋮ UTILITY MAXIMIZATION IN A LARGE MARKET ⋮ Market free lunch and large financial markets ⋮ No Arbitrage Theory for Bond Markets

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