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Title:On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria PDF Logo
Authors:Evstigneev, Igor V.
Schürger, Klaus
Taksar, Michael I.
Issue Date:2002
Series/Report no.:Bonn econ discussion papers 2002,24
Abstract:The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.
Subjects:no arbitrage criteria
portfolio constraints
supermartingale measures
bang-bang control
JEL:G13
G12
D40
Document Type:Working Paper
Appears in Collections:Bonn Econ Discussion Papers, Bonn Graduate School of Economics (BGSE), Universität Bonn

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