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arXiv · 1207.6281

A note on asymptotic exponential arbitrage with exponentially decaying failure probability

Kai Du·Ariel David Neufeld
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Abstract

The goal of this paper is to prove a result conjectured in F\"ollmer and Schachermayer [FS07], even in slightly more general form. Suppose that S is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of S. We show that S then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to F\"ollmer and Schachermayer [FS07], our result does not assume that S is a diffusion, nor does it need any ergodicity assumption.

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Kai Du, Ariel David Neufeld. 2012-07-26. A note on asymptotic exponential arbitrage with exponentially decaying failure probability. https://arxiv.org/abs/1207.6281

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