Non-arbitrage criteria for financial markets with efficient friction. (English) Zbl 1026.60051
Non-arbitrage criteria are presented for a multi-asset multi-period model with proportional transaction cost in the case of infinite underlying probability space. The main result is as follows: In the presence of efficient friction a financial market does not admit weak arbitrage opportunities at any date if and only if there exists a dual martingale process evolving in the interior of the positive dual to the solvency cone.
Reviewer: R.E.Maiboroda (Kyïv)
MSC:
60G44 | Martingales with continuous parameter |
91B28 | Finance etc. (MSC2000) |