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摘要翻译：
在金融市场的Markovian模型中，我们用抛物型偏微分不等式的最小正解来刻画非预期投资策略对市场投资组合的最佳套利；这完全是根据模型的协方差结构确定的。该解与严格局部鞅的性质密切相关，用于生成实现最优套利的投资策略。对非马尔可夫情形也给出了一些推广。
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英文标题：
《On optimal arbitrage》
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作者：
Daniel Fernholz, Ioannis Karatzas
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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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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英文摘要：
In a Markovian model for a financial market, we characterize the best arbitrage with respect to the market portfolio that can be achieved using nonanticipative investment strategies, in terms of the smallest positive solution to a parabolic partial differential inequality; this is determined entirely on the basis of the covariance structure of the model. The solution is intimately related to properties of strict local martingales and is used to generate the investment strategy which realizes the best possible arbitrage. Some extensions to non-Markovian situations are also presented.
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PDF链接：
https://arxiv.org/pdf/1010.4987
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