Brown, Martin; Zastawniak, Tomasz Fundamental theorem of asset pricing under fixed and proportional transaction costs. (English) Zbl 1461.91325 Ann. Finance 16, No. 3, 423-433 (2020). MSC: 91G30 60G44 PDF BibTeX XML Cite \textit{M. Brown} and \textit{T. Zastawniak}, Ann. Finance 16, No. 3, 423--433 (2020; Zbl 1461.91325) Full Text: DOI arXiv OpenURL
Yan, Jia-An Introduction to stochastic finance. (English) Zbl 1420.91001 Universitext. Singapore: Springer; Beijing: Science Press (ISBN 978-981-13-1656-2/pbk; 978-981-13-1657-9/ebook). xiv, 403 p. (2018). Reviewer: Tak Kuen Siu (Sydney) MSC: 91-01 91G10 91G20 91B25 91G30 60G42 91B16 60H30 62P05 62M10 PDF BibTeX XML Cite \textit{J.-A. Yan}, Introduction to stochastic finance. Singapore: Springer; Beijing: Science Press (2018; Zbl 1420.91001) Full Text: DOI OpenURL
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Kabanov, Yu. M.; Stricker, Ch. The Harrison-Pliska arbitrage pricing theorem under transaction costs. (English) Zbl 0986.91012 J. Math. Econ. 35, No. 2, 185-196 (2001). Reviewer: Leszek Zaremba (Warszawa) MSC: 91B24 91B26 60G44 PDF BibTeX XML Cite \textit{Yu. M. Kabanov} and \textit{Ch. Stricker}, J. Math. Econ. 35, No. 2, 185--196 (2001; Zbl 0986.91012) Full Text: DOI OpenURL
Christensen, Bent Jesper; Kiefer, Nicholas M. Simulated moment methods for empirical equivalent martingale measures. (English) Zbl 1029.62082 Mariano, Roberto (ed.) et al., Simulation-based inference in econometrics. Methods and applications. Cambridge: Cambridge University Press. 183-204 (2000). MSC: 62P05 91B28 60J70 60G44 62P20 PDF BibTeX XML Cite \textit{B. J. Christensen} and \textit{N. M. Kiefer}, in: Simulation-based inference in econometrics. Methods and applications. Cambridge: Cambridge University Press. 183--204 (2000; Zbl 1029.62082) OpenURL
Delbaen, F.; Schachermayer, W. The fundamental theorem of asset pricing for unbounded stochastic processes. (English) Zbl 0917.60048 Math. Ann. 312, No. 2, 215-250 (1998). Reviewer: Peter Bank (Berlin) MSC: 60G44 46N30 46E30 91B25 60H05 PDF BibTeX XML Cite \textit{F. Delbaen} and \textit{W. Schachermayer}, Math. Ann. 312, No. 2, 215--250 (1998; Zbl 0917.60048) Full Text: DOI Link OpenURL
El Karoui, Nicole; Quenez, Marie-Claire Dynamic programming and pricing of contingent claims in an incomplete market. (English) Zbl 0831.90010 SIAM J. Control Optimization 33, No. 1, 29-66 (1995). Reviewer: M.Schweizer (Berlin) MSC: 91G20 90C39 93E25 PDF BibTeX XML Cite \textit{N. El Karoui} and \textit{M.-C. Quenez}, SIAM J. Control Optim. 33, No. 1, 29--66 (1995; Zbl 0831.90010) Full Text: DOI OpenURL
Stricker, C. Valeurs prises par les martingales locales positives continues a un instant donné. (Values taken by continuous, positive local martingales at a given instant). (French) Zbl 0707.60040 Ann. Probab. 18, No. 2, 626-629 (1990). Reviewer: P.A.Meyer MSC: 60G44 60H05 PDF BibTeX XML Cite \textit{C. Stricker}, Ann. Probab. 18, No. 2, 626--629 (1990; Zbl 0707.60040) Full Text: DOI OpenURL
Müller, Sigrid M. On complete securities markets and the martingale property of securities prices. (English) Zbl 1375.91227 Econ. Lett. 31, No. 1, 37-41 (1989). MSC: 91G20 60K30 60G44 60H05 PDF BibTeX XML Cite \textit{S. M. Müller}, Econ. Lett. 31, No. 1, 37--41 (1989; Zbl 1375.91227) Full Text: DOI OpenURL
Taqqu, Murad S.; Willinger, Walter The analysis of finite security markets using martingales. (English) Zbl 0618.60047 Adv. Appl. Probab. 19, 1-25 (1987). MSC: 60G99 60G44 90C05 60K30 PDF BibTeX XML Cite \textit{M. S. Taqqu} and \textit{W. Willinger}, Adv. Appl. Probab. 19, 1--25 (1987; Zbl 0618.60047) Full Text: DOI OpenURL
Stricker, C. Integral representation in the theory of continuous trading. (English) Zbl 0584.60059 Stochastics 13, 249-256 (1984). Reviewer: T.C.Brown MSC: 60G44 60H05 PDF BibTeX XML Cite \textit{C. Stricker}, Stochastics 13, 249--256 (1984; Zbl 0584.60059) Full Text: DOI OpenURL
Harrison, J. Michael; Pliska, Stanley R. A stochastic calculus model of continuous trading: Complete markets. (English) Zbl 0511.60094 Stochastic Processes Appl. 15, 313-316 (1983). MSC: 60K30 60G44 60H10 60H05 PDF BibTeX XML Cite \textit{J. M. Harrison} and \textit{S. R. Pliska}, Stochastic Processes Appl. 15, 313--316 (1983; Zbl 0511.60094) Full Text: DOI Link OpenURL