On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes
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Publication:398201
DOI10.1214/12-BJPS203zbMath1312.91096arXiv1206.5756OpenAlexW3126142077MaRDI QIDQ398201
Publication date: 12 August 2014
Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1206.5756
Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50) Microeconomic theory (price theory and economic markets) (91B24) Generalizations of martingales (60G48) Financial applications of other theories (91G80)
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