Evstigneev, Igor V. Schürger, Klaus Taksar, Michael I.
Year of Publication:
Bonn econ discussion papers 2002,24
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.
no arbitrage criteria portfolio constraints supermartingale measures bang-bang control