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Dmitry B. Rokhlin

Publications and source records attributed to Dmitry B. Rokhlin.

28 records · Page 2Linked to original sources
arXiv2012

On the dynamic programming principle for controlled diffusion processes in a cylindrical region

We prove the dynamic programming principle for a class of diffusion processes controlled up to the time of exit from a cylindrical region $[0,T)\times G$. It is assumed that the functional to be maximized is in the Lagrange form with nonnegative integrand. Besides this we only adopt the standard assumptions, ensuring the existence of a unique strong solution of a stochastic differential equation for the state process.

math.OC↗
arXiv2011

On the game interpretation of a shadow price process in utility maximization problems under transaction costs

To any utility maximization problem under transaction costs one can assign a frictionless model with a price process $S^*$, lying in the bid/ask price interval $[\underline S, \bar{S}]$. Such process $S^*$ is called a \emph{shadow price} if it provides the same optimal utility value as in the original model with bid-ask spread. We call $S^*$ a \emph{generalized shadow price} if the above property is true for the \emph{relaxed} utility function in the frictionless model. This relaxation is defined as the lower semicontinuous envelope of the original utility, considered as a function on the set $[\underline S, \bar{S}]$, equipped with some natural weak topology. We prove the existence of a generalized shadow price under rather weak assumptions and mark its relation to a saddle point of the trader/market zero-sum game, determined by the relaxed utility function. The relation of the notion of a shadow price to its generalization is illustrated by several examples. Also, we briefly discuss the interpretation of shadow prices via Lagrange duality.

q-fin.PM↗
arXiv2008

A proof of the Dalang-Morton-Willinger theorem

We give a new proof of the Dalang-Morton-Willinger theorem, relating the no-arbitrage condition in stochastic securities market models to the existence of an equivalent martingale measure with bounded density for a $d$-dimensional stochastic sequence $(S_n)_{n=0}^N$ of stock prices. Roughly speaking, the proof is reduced to the assertion that under the no-arbitrage condition for N=1 and $S\in L^1$ there exists a strictly positive linear fucntional on $L^1$, which is bounded from above on a special subset of the subspace $K\subset L^1$ of investor's gains.

math.PR↗
arXiv2008

Kreps-Yan theorem for Banach ideal spaces

Let $C$ be a closed convex cone in a Banach ideal space $X$ on a measurable space with a $σ$-finite measure. We prove that conditions $C\cap X_+=\{0\}$ and $C\supset -X_+$ imply the existence of a strictly positive continuous functional on $X$, whose restriction to $C$ is non-positive.

math.FA↗
arXiv2008

Lower bounds of martingale measure densities in the Dalang-Morton-Willinger theorem

For a $d$-dimensional stochastic process $(S_n)_{n=0}^N$ we obtain criteria for the existence of an equivalent martingale measure, whose density $z$, up to a normalizing constant, is bounded from below by a given random variable $f$. We consider the case of one-period model (N=1) under the assumptions $S\in L^p$; $f,z\in L^q$, $1/p+1/q=1$, where $p\in [1,\infty]$, and the case of $N$-period model for $p=\infty$. The mentioned criteria are expressed in terms of the conditional distributions of the increments of $S$, as well as in terms of the boundedness from above of an utility function related to some optimal investment problem under the loss constraints. Several examples are presented.

math.PR↗
arXiv2007

Asymptotic arbitrage and numéraire portfolios in large financial markets

This paper deals with the notion of a large financial market and the concepts of asymptotic arbitrage and strong asymptotic arbitrage (both of the first kind), introduced by Yu.M. Kabanov and D.O. Kramkov. We show that the arbitrage properties of a large market are completely determined by the asymptotic behavior of the sequence of the numéraire portfolios, related to the small markets. The obtained criteria can be expressed in terms of contiguity, entire separation and Hellinger integrals, provided these notions are extended to sub-probability measures. As examples we consider market models on finite probability spaces, semimartingale and diffusion models. Also a discrete-time infinite horizon market model with one log-normal stock is examined.

math.PR↗
arXiv2006

Martingale selection problem and asset pricing in finite discrete time

Given a set-valued stochastic process $(V_t)_{t=0}^T$, we say that the martingale selection problem is solvable if there exists an adapted sequence of selectors $ξ_t\in V_t$, admitting an equivalent martingale measure. The aim of this note is to underline the connection between this problem and the problems of asset pricing in general discrete-time market models with portfolio constraints and transaction costs. For the case of relatively open convex sets $V_t(ω)$ we present effective necessary and sufficient conditions for the solvability of a suitably generalized martingale selection problem. We show that this result allows to obtain computationally feasible formulas for the price bounds of contingent claims. For the case of currency markets we also give a comment on the first fundamental theorem of asset pricing.

math.PR↗
arXiv2006

Martingale selection theorem for a stochastic sequence with relatively open convex values

For a set-valued stochastic sequence $(G_n)_{n=0}^N$ with relatively open convex values $G_n(ω)$ we give a criterion for the existence of an adapted sequence $(x_n)_{n=0}^N$ of selectors, admitting an equivalent martingale measure. Mentioned criterion is expressed in terms of supports of the regular conditional upper distributions of the elements $G_n$. This result is a refinement of the main result of author's previous paper (Teor. Veroyatnost. i Primen., 2005, 50:3, 480--500), where the sets $G_n(ω)$ were assumed to be open and where were asked if the openness condition can be relaxed.

math.PR↗
arXiv2004

The Kreps-Yan theorem for $L^\infty$

We prove the following version of the Kreps-Yan theorem. For any norm closed convex cone $C\subset L^\infty$ such that $C\cap L_+^\infty=\{0\}$ and $C\supset -L_+^\infty$, there exists a strictly positive continuous linear functional, whose restriction on $C$ is non-positive. The proof uses some tools from convex analysis in contrast to the case of a weakly Lindelöf Banach space, where such approach is not needed.

math.FA↗