摘要翻译:
我们从一个获得信息有限的金融代理人的角度对市场进行研究。agent可用的财富过程集合具有合理的经济性质,而不是通常的做法,即把它看成是由随机积分和半鞅积分组成的。我们得到了最终财富结果集的概率有界性(它又等价于不存在第一类套利的弱市场生存条件)与至少存在一个严格正的平减指数的等价性,从而使平减的财富过程具有广义上鞅性质。
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英文标题:
《Generalized supermartingale deflators under limited information》
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作者:
Constantinos Kardaras
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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:General Finance 一般财务
分类描述:Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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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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英文摘要:
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 practice of taking it to consist of stochastic integrals against a semimartingale integrator. We obtain the equivalence of the boundedness in probability of the set of terminal wealth outcomes (which in turn is equivalent to the weak market viability condition of absence of arbitrage of the first kind) with the existence of at least one strictly positive deflator that makes the deflated wealth processes have a generalized supermartingale property.
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PDF链接:
https://arxiv.org/pdf/0904.2913