On The Fundamental Theorem Of Asset Pricing: Random Constraints And Bang-Bang No-Arbitrage Criteria |
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| Authors: | Igor V Evstigneev Klaus Schürger Michael I Taksar |
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| Institution: | School of Economic Studies, University of Manchester; Department of Statistics, University of Bonn; Mathematics Department, University of Missouri |
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| Abstract: | The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton, and Willinger (1990) in the following two respects: (a) the result is extended to a model with general portfolio constraints, and (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed. |
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| Keywords: | no-arbitrage criteria portfolio constraints supermartingale measures bang-bang control |
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