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math.PR2020
Convergence of Local Supermartingales
Martin Larsson, Johannes Ruf
We characterize the event of convergence of a local supermartingale. Conditions are given in terms of its predictable characteristics and quadratic variation. The notion of station…
q-fin.MF2020
Relative Arbitrage: Sharp Time Horizons and Motion by Curvature
Martin Larsson, Johannes Ruf
We characterize the minimal time horizon over which any equity market with stocks and sufficient intrinsic volatility admits relative arbitrage with respect to the marke…