英文标题：
《Asymptotic Exponential Arbitrage and Utility-based Asymptotic Arbitrage
in Markovian Models of Financial Markets》
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作者：
Martin Le Doux Mbele Bidima and Mikl\\\'os R\\\'asonyi
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最新提交年份：
2014
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英文摘要：
Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in a previous paper of ours, we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to $1$ geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory. Furthermore, we discuss asymptotic arbitrage in the expected utility sense and its relationship to the first part of the paper.
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中文摘要：
考虑一个离散时间无限期金融市场模型，其中股票价格的对数是随机微分方程的时间离散化。在不同于前一篇文章给出的条件下，我们证明了投资机会的存在性，投资机会产生指数增长的利润，概率趋于1美元几何速度。这是利用马尔可夫链上的遍历结果和大偏差理论工具实现的。此外，我们还讨论了预期效用意义下的渐近套利及其与本文第一部分的关系。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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