A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability. (30th January 2018)
- Record Type:
- Journal Article
- Title:
- A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability. (30th January 2018)
- Main Title:
- A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability
- Authors:
- Du, Kai
Neufeld, Ariel David - Abstract:
- Abstract : The goal of this paper is to prove a result conjectured in Föllmer and Schachermayer (2007) in a slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S . We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to Föllmer and Schachermayer (2007), our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.
- Is Part Of:
- Journal of applied probability. Volume 50:Number 3(2013)
- Journal:
- Journal of applied probability
- Issue:
- Volume 50:Number 3(2013)
- Issue Display:
- Volume 50, Issue 3 (2013)
- Year:
- 2013
- Volume:
- 50
- Issue:
- 3
- Issue Sort Value:
- 2013-0050-0003-0000
- Page Start:
- 801
- Page End:
- 809
- Publication Date:
- 2018-01-30
- Subjects:
- Asymptotic exponential arbitrage, -- continuous semimartingale model, -- large deviations
91G10, -- 60F10, -- 60G44
519.2 - Journal URLs:
- https://www.cambridge.org/core/journals/journal-of-applied-probability ↗
- DOI:
- 10.1239/jap/1378401237 ↗
- Languages:
- English
- ISSNs:
- 0021-9002
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 6067.xml