Constructive no-arbitrage criterion under transaction costs in the case of finite discrete time

2006/03/13 by Dmitry B. Rokhlin, Rokhlin, Dmitry B.
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #60G42 #91B24 #Computational Finance (q-fin.CP) #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Probability (math.PR) #Risk and Portfolio Optimization #Stochastic processes and financial applications #math.PR #msc:60G42 #msc:91B24 #q-fin.CP

paper · pdf · doi:10.48550/arxiv.math/0603284

18 pages, 1 fig

arxiv created 2006/03/13 · openalex publication_date 2006/03/13 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

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.

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