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摘要翻译：
本文的目的是证明F\\Ollmer和Schachermayer[FS07]中的一个猜想结果，甚至是更一般的形式。假定S是一个连续半鞅且满足一个大偏差估计，这是S的均值-方差权衡过程的一个特殊增长条件。我们证明了S允许失效概率指数衰减的渐近指数套利，这是长期套利的一个强的定量形式。与F\\Ollmer和Schachermayer[FS07]相比，我们的结果不假定S是一个扩散，也不需要任何遍历性假设。
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英文标题：
《A note on asymptotic exponential arbitrage with exponentially decaying
failure probability》
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作者：
Kai Du, Ariel David Neufeld
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最新提交年份：
2012
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分类信息：
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：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
The goal of this paper is to prove a result conjectured in F\"ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to F\"ollmer and Schachermayer [FS07], our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.
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PDF链接：
https://arxiv.org/pdf/1207.6281
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