Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22845
Authors: 
Evstigneev, Igor V.
Schürger, Klaus
Taksar, Michael I.
Year of Publication: 
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

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