Let S=(S_t), t=0,1,...,T (T being finite), be an adapted R^d-valued process. Each component process of S might be interpreted as the price process of a certain security. A trading strategy H=(H_t), t= 1,...,T, is a predictable R^d-valued process. A strategy H is called extreme if it represents a...

A random variable X is digit-regular (respectively, significant-digit-regular) if the probability that every block of k given consecutive digits (significant digits) appears in the b-adic expansion of X approaches b &supk; as the block moves to the right, for all integers b 1 and k ? 1. Necessary...

The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control...

It is shown that moments of negative order as well as positive non- integral order of a nonnegative random variable X can be expressed by the Laplace transform of X. Applying these results of certain first passage times gives explicit formulae for moments of suprema of Bessel processes as well...

In this paper we consider families (Xm,n) of random variables which satisfy a subadditivity condition of the form X0,n+m <= X0,n + Xn,n+m + Yn,n+m, m, n >= 1. The main purpo is to give conditions which are sufficient for the a.e. convergence of ((1/n)X0,n). Restricting ourselves to the case when (X0,n) has certain monotonicity...</=>