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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.

MSC:

60G44 Martingales with continuous parameter
91B28 Finance etc. (MSC2000)
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