相关论文: A proof of the Dalang-Morton-Willinger theorem

This note develops an arbitrage theory for a discrete-time market model without the assumption of the existence of a num\'eraire asset. Fundamental theorems of asset pricing are stated and proven in this context. The distinction between the…

This papers addresses the stock option pricing problem in a continuous time market model where there are two stochastic tradable assets, and one of them is selected as a num\'eraire. It is shown that the presence of arbitrarily small…

A new method is proposed to obtain the risk neutral probability of share prices without stochastic calculus and price modeling, via an embedding of the price return modeling problem in Le Cam's statistical experiments framework.…

We show that with suitable restrictions on allowable trading strategies, one has no arbitrage in settings where the traditional theory would admit arbitrage possibilities. In particular, price processes that are not semimartingales are…

We study the martingale optimal transport problem with state-dependent trading frictions and develop a geometric and duality framework extending from the one time-step to the multi-marginal setting. Building on the left-monotone structure…

This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=(S_{t})_{t\geq0}$ is given by \[ dS_{t}=m(\theta_{t})S_{t}…

We construct a general stochastic process and prove weak convergence results. It is scaled in space and through the parameters of its distribution. We show that our simplified scaling is equivalent to time scaling used frequently. The…

This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S=(S_{t})_{t\geq0} $ is given by \[…

We consider a market with fractional Brownian motion with stochastic integrals generated by the Riemann sums. We found that this market is arbitrage free if admissible strategies that are using observations with an arbitrarily small delay.…

We show existence and uniqueness of solutions of stochastic path-dependent differential equations driven by cadlag martingale noise under joint local monotonicity and coercivity assumptions on the coefficients with a bound in terms of the…

Effective string field equations with zero-constrained torsion have been studied extensively in the literature. But, one may think that the effects of vanishing of the non-metricity have not been explained in detail and also in according to…

We undertake a study of markets from the perspective of a financial agent with limited access to information. The set of wealth processes available to the agent is structured with reasonable economic properties, instead of the usual…

In credit risk literature, the existence of an equivalent martingale measure is stipulated as one of the main assumptions in the hazard process model. Here we show by construction the existence of a measure that turns the discounted stock…

The superiority of stochastic symplectic methods over non-symplectic counterparts has been verified by plenty of numerical experiments, especially in capturing the asymptotic behaviour of the underlying solution process. How can one…

We introduce a new definition of speculative bubbles in discrete-time models based on the discounted stock price losing mass at some finite drop-down under an equivalent martingale measure. We provide equivalent probabilistic…

In this note we show that the Taylor series of a function in a weighted Dirichlet space is (generalized) N\"orlund summable, provided that the sequence determining the N\"orlund operator is non-decreasing and has finite upper growth rate.…

We study a class of stochastic time-fractional equations on $\mathbb{R}^d$ driven by a centered Gaussian noise, involving a Caputo time derivative of order $\beta>0$, a fractional (power) Laplacian of order $\alpha>0$, and a…

We give an explicit formula for the probability distribution based on a relativistic extension of Brownian motion. The distribution 1) is properly normalized and 2) obeys the tower law (semigroup property), so we can construct martingales…

We introduce a variant of the Barndorff-Nielsen and Shephard stochastic volatility model where the non Gaussian Ornstein-Uhlenbeck process describes some measure of trading intensity like trading volume or number of trades instead of…

We consider a stochastic lattice Cahn-Hilliard equation with nonautonomous nonlinear noise. First, we prove the existence of pullback random attractors in $\ell^2$ for the generated nonautonomous random dynamical system. Then, we construct…