摘要翻译：
利用$La_n$-一致价格系统诱导的等价概率测度序列的邻接性质，给出了具有较小比例交易费用$La_n$的大型金融市场的第一类、第二类渐近套利和强渐近套利的刻画。这些结果类似于无摩擦情况。我们的设置很简单，每个市场$N$包含两个具有连续价格过程的资产。证明使用了Halmos-Savage定理的定量版本和非负局部鞅的单调收敛结果。此外，我们给出了一个不含交易费用的强渐近套利的例子；但是，当交易成本$\la_n>0美元时，$n$($\la_n\to0美元不太快），就不存在任何形式的渐近套利。
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英文标题：
《Large Financial Markets and Asymptotic Arbitrage with Small Transaction
  Costs》
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作者：
Irene Klein, Emmanuel Lepinette and Lavinia Ostafe
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最新提交年份：
2012
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  We give characterizations of asymptotic arbitrage of the first and second kind and of strong asymptotic arbitrage for large financial markets with small proportional transaction costs $\la_n$ on market $n$ in terms of contiguity properties of sequences of equivalent probability measures induced by $\la_n$--consistent price systems. These results are analogous to the frictionless case. Our setting is simple, each market $n$ contains two assets with continuous price processes. The proofs use quantitative versions of the Halmos--Savage Theorem and a monotone convergence result of nonnegative local martingales. Moreover, we present an example admitting a strong asymptotic arbitrage without transaction costs; but with transaction costs $\la_n>0$ on market $n$ ($\la_n\to0$ not too fast) there does not exist any form of asymptotic arbitrage.
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PDF链接：
https://arxiv.org/pdf/1211.0443