Mbele Bidima, M. L. D. and Rásonyi, Miklós (2015) Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets. ACTA APPLICANDAE MATHEMATICAE, 138 (1). pp. 1-15. ISSN 0167-8019
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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. Furthermore, we discuss asymptotic arbitrage in the expected utility sense and its relationship to the first part of the paper. © 2014 Springer Science+Business Media Dordrecht.
Item Type: | Article |
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Uncontrolled Keywords: | Markov chains; large deviations; Expected utility; Asymptotic exponential arbitrage |
Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
SWORD Depositor: | MTMT SWORD |
Depositing User: | MTMT SWORD |
Date Deposited: | 17 Feb 2016 13:51 |
Last Modified: | 17 Feb 2016 13:51 |
URI: | http://real.mtak.hu/id/eprint/33687 |
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