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math.PR2010
Martingale property of generalized stochastic exponentials
Aleksandar Mijatović, Nika Novak, Mikhail Urusov
For a real Borel measurable function b, which satisfies certain integrability conditions, it is possible to define a stochastic integral of the process b(Y) with respect to a Brown…
q-fin.GN2010★ 1 cited
Deterministic criteria for the absence of arbitrage in one-dimensional diffusion models
Aleksandar Mijatović, Mikhail Urusov
We obtain a deterministic characterisation of the \emph{no free lunch with vanishing risk}, the \emph{no generalised arbitrage} and the \emph{no relative arbitrage} conditions in t…