No simple arbitrage for fractional Brownian motion
Abstract
We prove the following result: For (Zt)t ∈ R a fractional Brownian motion with arbitrary Hurst parameter, there does not exist any stopping time τ adapted to the natural filtration of the increments of Z such that, with positive probability, τ a local minimum at right of the trajectory of Z.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.