Geodesic
Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time
Teoriâ veroâtnostej i ee primeneniâ, Tome 52 (2007) no. 1, pp. 41-59

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We obtain a constructive criterion for robust no-arbitrage in discrete-time market models with transaction costs. This criterion is expressed in terms of the supports of the regular conditional upper distributions of the solvency cones. We also consider the model with a bank account. A method for construction of arbitrage strategies is proposed.
Mots-clés : robust no-arbitrage
Keywords: transaction costs, arbitrage portfolios, measurable set-valued maps, supports of the regular conditional distributions. 
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     author = {D. B. Rokhlin},
     title = {Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {41--59},
     publisher = {mathdoc},
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     number = {1},
     year = {2007},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2007_52_1_a2/}
}
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D. B. Rokhlin. Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time. Teoriâ veroâtnostej i ee primeneniâ, Tome 52 (2007) no. 1, pp. 41-59. http://geodesic.mathdoc.fr/item/TVP_2007_52_1_a2/