{"id":"https://openalex.org/W2949335112","doi":"https://doi.org/10.1017/s0021900200009852","title":"A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability","display_name":"A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability","publication_year":2013,"publication_date":"2013-09-01","ids":{"openalex":"https://openalex.org/W2949335112","doi":"https://doi.org/10.1017/s0021900200009852","mag":"2949335112"},"language":"en","primary_location":{"id":"doi:10.1017/s0021900200009852","is_oa":false,"landing_page_url":"http://doi.org/10.1017/s0021900200009852","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5043464993","display_name":"Kai Du","orcid":"https://orcid.org/0000-0002-3117-0307"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Kai Du","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5010656544","display_name":"Ariel Neufeld","orcid":"https://orcid.org/0000-0001-5500-5245"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Ariel David Neufeld","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":1,"citation_normalized_percentile":{"value":0.42812255,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"50","issue":"03","first_page":"801","last_page":"809"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9904000163078308,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9904000163078308,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9516000151634216,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9359999895095825,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8511871099472046},{"id":"https://openalex.org/keywords/semimartingale","display_name":"Semimartingale","score":0.8216037750244141},{"id":"https://openalex.org/keywords/arbitrage","display_name":"Arbitrage","score":0.6995445489883423},{"id":"https://openalex.org/keywords/exponential-growth","display_name":"Exponential growth","score":0.6686721444129944},{"id":"https://openalex.org/keywords/ergodicity","display_name":"Ergodicity","score":0.6034367084503174},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.5669260621070862},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.46892741322517395},{"id":"https://openalex.org/keywords/exponential-decay","display_name":"Exponential decay","score":0.4584294557571411},{"id":"https://openalex.org/keywords/large-deviations-theory","display_name":"Large deviations theory","score":0.44268709421157837},{"id":"https://openalex.org/keywords/exponential-distribution","display_name":"Exponential distribution","score":0.43772727251052856},{"id":"https://openalex.org/keywords/quadratic-growth","display_name":"Quadratic growth","score":0.42179229855537415},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.2809470593929291},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.2214185893535614},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.09752842783927917}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8511871099472046},{"id":"https://openalex.org/C39943821","wikidata":"https://www.wikidata.org/wiki/Q506346","display_name":"Semimartingale","level":2,"score":0.8216037750244141},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.6995445489883423},{"id":"https://openalex.org/C75235859","wikidata":"https://www.wikidata.org/wiki/Q582659","display_name":"Exponential growth","level":2,"score":0.6686721444129944},{"id":"https://openalex.org/C201779956","wikidata":"https://www.wikidata.org/wiki/Q5426803","display_name":"Ergodicity","level":2,"score":0.6034367084503174},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.5669260621070862},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.46892741322517395},{"id":"https://openalex.org/C180188523","wikidata":"https://www.wikidata.org/wiki/Q574576","display_name":"Exponential decay","level":2,"score":0.4584294557571411},{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.44268709421157837},{"id":"https://openalex.org/C55350006","wikidata":"https://www.wikidata.org/wiki/Q237193","display_name":"Exponential distribution","level":2,"score":0.43772727251052856},{"id":"https://openalex.org/C195956108","wikidata":"https://www.wikidata.org/wiki/Q7268362","display_name":"Quadratic growth","level":2,"score":0.42179229855537415},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.2809470593929291},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.2214185893535614},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.09752842783927917},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0},{"id":"https://openalex.org/C185544564","wikidata":"https://www.wikidata.org/wiki/Q81197","display_name":"Nuclear physics","level":1,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1017/s0021900200009852","is_oa":false,"landing_page_url":"http://doi.org/10.1017/s0021900200009852","pdf_url":null,"source":{"id":"https://openalex.org/S160779208","display_name":"Journal of Applied Probability","issn_l":"0021-9002","issn":["0021-9002","1475-6072"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310311721","host_organization_name":"Cambridge University Press","host_organization_lineage":["https://openalex.org/P4310311721","https://openalex.org/P4310311702"],"host_organization_lineage_names":["Cambridge University Press","University of Cambridge"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Applied Probability","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"},{"id":"https://openalex.org/F4320320924","display_name":"Schweizerischer Nationalfonds zur F\u00f6rderung der Wissenschaftlichen Forschung","ror":"https://ror.org/00yjd3n13"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":3,"referenced_works":["https://openalex.org/W2040425860","https://openalex.org/W2084584557","https://openalex.org/W2143620550"],"related_works":["https://openalex.org/W3110410503","https://openalex.org/W4205889408","https://openalex.org/W2376939068","https://openalex.org/W3176248183","https://openalex.org/W2004474975","https://openalex.org/W3098109115","https://openalex.org/W2168554724","https://openalex.org/W4289100395","https://openalex.org/W3006077923","https://openalex.org/W2905744279"],"abstract_inverted_index":{"The":[0],"goal":[1],"of":[2,46,70],"this":[3,35],"paper":[4],"is":[5,25,36,64,87],"to":[6,75],"prove":[7],"a":[8,17,26,31,37,65,88],"result":[9,81],"conjectured":[10],"in":[11,16],"F\u00f6llmer":[12,76],"and":[13,29,67,77],"Schachermayer":[14,78],"(2007)":[15],"slightly":[18],"more":[19],"general":[20],"form.":[21],"Suppose":[22],"that":[23,51,85],"S":[24,47,52,86],"continuous":[27],"semimartingale":[28],"satisfies":[30],"large":[32],"deviations":[33],"estimate;":[34],"particular":[38],"growth":[39],"condition":[40],"on":[41],"the":[42],"mean-variance":[43],"tradeoff":[44],"process":[45],".":[48],"We":[49],"show":[50],"then":[53],"allows":[54],"asymptotic":[55],"exponential":[56],"arbitrage":[57],"with":[58],"exponentially":[59],"decaying":[60],"failure":[61],"probability,":[62],"which":[63],"strong":[66],"quantitative":[68],"form":[69],"long-term":[71],"arbitrage.":[72],"In":[73],"contrast":[74],"(2007),":[79],"our":[80],"does":[82,91],"not":[83],"assume":[84],"diffusion,":[89],"nor":[90],"it":[92],"need":[93],"any":[94],"ergodicity":[95],"assumption.":[96]},"counts_by_year":[{"year":2019,"cited_by_count":1}],"updated_date":"2026-05-21T06:26:12.895304","created_date":"2025-10-10T00:00:00"}