Admissible Trading Strategies under Transaction Costs


A well known result in stochastic analysis reads as follows: for an R-valued super-martingale X = (Xt)0≤t≤T such that the terminal value XT is non-negative, we have that the entire process X is nonnegative. An analogous result holds true in the no arbitrage theory of mathematical finance: under the assumption of no arbitrage, a portfolio process x + (H · S… (More)


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