Relative arbitrage: Sharp time horizons and motion by curvature
From MaRDI portal
Publication:6054367
DOI10.1111/mafi.12303zbMath1522.91228arXiv2003.13601OpenAlexW3149964961MaRDI QIDQ6054367
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2003.13601
Related Items
SDEs with no strong solution arising from a problem of stochastic control ⋮ Optimal control of martingales in a radially symmetric environment
Cites Work
- Relative arbitrage in volatility-stabilized markets
- Short-term relative arbitrage in volatility-stabilized markets
- Curve shortening makes convex curves circular
- Motion of level sets by mean curvature. I
- On optimal arbitrage
- Handbook of numerical analysis. Vol XV. Special Volume: Mathematical modeling and numerical methods in finance.
- The heat equation shrinking convex plane curves
- Level set approach to mean curvature flow in arbitrary codimension
- Motion of level sets by mean curvature. III
- A stochastic representation for mean curvature type geometric flows
- Exponentially concave functions and a new information geometry
- Volatility and arbitrage
- Diversity and relative arbitrage in equity markets
- Dynamic programming for stochastic target problems and geometric flows
- The existence of absolutely continuous local martingale measures
- Exponentially concave functions and high dimensional stochastic portfolio theory
- Trading strategies generated by Lyapunov functions
- A Representation Formula for the Mean Curvature Motion
- Differentiability of the Arrival Time
- A STOCHASTIC REPRESENTATION FOR THE LEVEL SET EQUATIONS
- A deterministic‐control‐based approach motion by curvature
- Uniqueness and existence of viscosity solutions of generalized mean curvature flow equations
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item