Sticky Continuous Processes have Consistent Price Systems

DOI10.1239/jap/1437658617zbMath1406.91496arXiv1310.7857OpenAlexW3099649829MaRDI QIDQ2949856

Mikko S. Pakkanen, Hasanjan Sayit, Christian Bender

Publication date: 2 October 2015

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

Full work available at URL: https://arxiv.org/abs/1310.7857

zbMATH Keywords

martingaletransaction costsarbitragestickinessconsistent price system

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

Related Items (4)

On the fractional stochastic integration for random non-smooth integrands ⋮ Sticky processes, local and true martingales ⋮ No arbitrage and lead-lag relationships ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

Cites Work

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• On the stickiness property
• Stochastic Integrals and Conditional Full Support
• BROWNIAN SEMISTATIONARY PROCESSES AND CONDITIONAL FULL SUPPORT
• NO ARBITRAGE UNDER TRANSACTION COSTS, WITH FRACTIONAL BROWNIAN MOTION AND BEYOND

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