No arbitrage in continuous financial markets

DOI10.1007/s11579-020-00262-1zbMath1443.91272arXiv1809.09588OpenAlexW3012067887MaRDI QIDQ2190064

David Criens

Publication date: 18 June 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.09588

zbMATH Keywords

no arbitrageswitching diffusionItô processfinancial bubbleminimal martingale measurestochastic exponential

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial markets (91G15)

Related Items (5)

Robust deep hedging ⋮ Robust utility maximization with nonlinear continuous semimartingales ⋮ No arbitrage and multiplicative special semimartingales ⋮ A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS ⋮ On absolute continuity and singularity of multidimensional diffusions

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