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Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets

Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of... Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in (Mbele Bidima and Rásonyi in Ann. Oper. Res. 200:131–146, 2012), we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to 1 geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Acta Applicandae Mathematicae Springer Journals

Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets

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References (13)

Publisher
Springer Journals
Copyright
Copyright © 2014 by Springer Science+Business Media Dordrecht
Subject
Mathematics; Mathematics, general; Computer Science, general; Theoretical, Mathematical and Computational Physics; Statistical Physics, Dynamical Systems and Complexity; Mechanics
ISSN
0167-8019
eISSN
1572-9036
DOI
10.1007/s10440-014-9955-3
Publisher site
See Article on Publisher Site

Abstract

Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in (Mbele Bidima and Rásonyi in Ann. Oper. Res. 200:131–146, 2012), we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to 1 geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory.

Journal

Acta Applicandae MathematicaeSpringer Journals

Published: Jul 1, 2014

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