On optimal arbitrage

Annals of Applied Probability

Volumn 20, Issue 4, 2010, Pages 1179-1204

  Fernholz, Daniel ^a,b   Karatzas, Ioannis ^a,b  

^a University of Texas at Austin   (United States)

^b Intech Investment Management   (United States)

Author keywords

Arbitrage; Diffusions; Exit measures for supermartingales; Fichera drift; Maximum principle; Parabolic operators; Portfolios; Strict local martingales

Indexed keywords

EID: 77955130882     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/09-AAP642     Document Type: Article

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