Market viability via absence of arbitrage of the first kind

2009/04/11 by Constantinos Kardaras, Kardaras, Constantinos · 2 citations
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Pricing of Securities (q-fin.PR) #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.0904.1798

openalex publication_date 2009/04/11 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In a semimartingale financial market model, it is shown that there is equivalence between absence of arbitrage of the first kind (a weak viability condition) and the existence of a strictly positive process that acts as a local martingale deflator on nonnegative wealth processes.

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