caa a22 4500 606165991 CHVBK 20210128100656.0 cr unu---uuuuu 210128e20150801xx s 000 0 eng 10.1007/s10440-014-9955-3 doi (NATIONALLICENCE)springer-10.1007/s10440-014-9955-3 Asymptotic Exponential Arbitrage and Utility-Based Asymptotic Arbitrage in Markovian Models of Financial Markets [Elektronische Daten] [Martin Mbele Bidima, Miklós Rásonyi] Consider a discrete-time infinite horizon financial market model in which the logarithm of the stock price is a time discretization of a stochastic differential equation. Under conditions different from those given in (Mbele Bidima and Rásonyi in Ann. Oper. Res. 200:131-146, 2012), we prove the existence of investment opportunities producing an exponentially growing profit with probability tending to 1 geometrically fast. This is achieved using ergodic results on Markov chains and tools of large deviations theory. Furthermore, we discuss asymptotic arbitrage in the expected utility sense and its relationship to the first part of the paper. Springer Science+Business Media Dordrecht, 2014 Asymptotic exponential arbitrage nationallicence Markov chains nationallicence Large deviations nationallicence Expected utility nationallicence Mbele Bidima Martin University of Yaoundé I, Yaoundé, Cameroon aut Rásonyi Miklós MTA Alfréd Rényi Institute of Mathematics, Budapest, Hungary aut Acta Applicandae Mathematicae Springer Netherlands 138/1(2015-08-01), 1-15 0167-8019 138:1<1 2015 138 10440 https://doi.org/10.1007/s10440-014-9955-3 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10440-014-9955-3 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Mbele Bidima Martin University of Yaoundé I, Yaoundé, Cameroon aut NATIONALLICENCE 700 1- Rásonyi Miklós MTA Alfréd Rényi Institute of Mathematics, Budapest, Hungary aut NATIONALLICENCE 773 0- Acta Applicandae Mathematicae Springer Netherlands 138/1(2015-08-01), 1-15 0167-8019 138:1<1 2015 138 10440