Banach geometry of financial market models
- Авторы: Zabreiko P.1,2, Lebedev A.1,2
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Учреждения:
- Mechanics and Mathematics Faculty
- University of Bialystok
- Выпуск: Том 95, № 2 (2017)
- Страницы: 164-167
- Раздел: Mathematics
- URL: https://journals.rcsi.science/1064-5624/article/view/224947
- DOI: https://doi.org/10.1134/S106456241702020X
- ID: 224947
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Аннотация
Banach geometric objects imitating a phenomenon of the type of the absence of arbitrage in financial markets models are analyzed. The role played in this field by reflexive subspaces (which replace classically considered finite-dimensional subspaces) and by plasterable cones is revealed. A series of new geometric criteria for the absence of arbitrage are proved. An alternative description of the existence of a martingale measure is given, which does not use dual objects.
Об авторах
P. Zabreiko
Mechanics and Mathematics Faculty; University of Bialystok
Email: lebedev@bsu.by
Белоруссия, Minsk, 220050; Bialystok
A. Lebedev
Mechanics and Mathematics Faculty; University of Bialystok
Автор, ответственный за переписку.
Email: lebedev@bsu.by
Белоруссия, Minsk, 220050; Bialystok