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Teoriya Veroyatnostei i ee Primeneniya, 2020, Volume 65, Issue 2, Pages 409–419
DOI: https://doi.org/10.4213/tvp5354 (Mi tvp5354) 		 
A complement to the Grigoriev theorem for the Kabanov model

J. Zhaoa, E. Lepinettebc

a Department of Applied Mathematics, Nanjing University of Science and Technology, Nanjing, Jiangsu, P.R. China
b Ceremade, UMR CNRS 7534, Paris Dauphine University, PSL National Research, France
c Gosaef, Tunis-El Manar University, Tunisia
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DOI: https://doi.org/10.4213/tvp5354
Abstract: We provide an equivalent characterization of the absence of arbitrage opportunity for the bid and ask financial market model. This result, which is an analogue of the Dalang–Morton–Willinger theorem formulated for discrete-time financial market models without friction, supplements and improves the Grigoriev theorem for conic models in the two-dimensional case by showing that the set of all terminal liquidation values is closed.
Keywords: proportional transaction costs, absence of arbitrage opportunities, liquidation value, bid and ask prices, consistent price systems.
Funding agency Grant number
Agence Nationale de la Recherche
Received: 07.10.2018
English version:
Theory of Probability and its Applications, 2020, Volume 65, Issue 2, Pages 322–329
DOI: https://doi.org/10.1137/S0040585X97T989969
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: J. Zhao, E. Lepinette, “A complement to the Grigoriev theorem for the Kabanov model”, Teor. Veroyatnost. i Primenen., 65:2 (2020), 409–419; Theory Probab. Appl., 65:2 (2020), 322–329
Citation in format AMSBIB
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