DETERMINISTIC CRITERIA FOR THE ABSENCE AND EXISTENCE OF ARBITRAGE IN MULTI-DIMENSIONAL DIFFUSION MARKETS

DOI10.1142/S0219024918500024zbMath1395.91531arXiv1609.01621OpenAlexW2765496886MaRDI QIDQ4608110

David Criens

Publication date: 15 March 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1609.01621

zbMATH Keywords

arbitragemartingale problemequivalent (local) martingale measuremulti-dimensional time-inhomogeneous diffusion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Microeconomic theory (price theory and economic markets) (91B24) Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

Related Items (6)

Strict local martingales and the Khasminskii test for explosions ⋮ Asset price bubbles: invariance theorems ⋮ No arbitrage and multiplicative special semimartingales ⋮ No arbitrage in continuous financial markets ⋮ 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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