英文标题：
《Robust martingale selection problem and its connections to the
  no-arbitrage theory》
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作者：
Matteo Burzoni and Mario Sikic
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最新提交年份：
2018
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英文摘要：
  We analyze the martingale selection problem of Rokhlin (2006) in a pointwise (robust) setting. We derive conditions for solvability of this problem and show how it is related to the classical no-arbitrage deliberations. We obtain versions of the Fundamental Theorem of Asset Pricing in examples spanning frictionless markets, models with proportional transaction costs and also models for illiquid markets. In all these examples, we also incorporate trading constraints.
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中文摘要：
我们分析了Rokhlin（2006）在逐点（鲁棒）设置下的鞅选择问题。我们推导了该问题可解的条件，并说明了它与经典无套利讨论的关系。我们在无摩擦市场、具有比例交易成本的模型以及非流动市场的模型中获得了资产定价基本定理的版本。在所有这些示例中，我们还加入了交易约束。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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