{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2023,4,26]],"date-time":"2023-04-26T07:41:00Z","timestamp":1682494860785},"reference-count":5,"publisher":"Cambridge University Press (CUP)","issue":"03","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["J. Appl. Probab."],"published-print":{"date-parts":[[2013,9]]},"abstract":"<jats:p>The goal of this paper is to prove a result conjectured in F\u00f6llmer and Schachermayer (2007) in a slightly more general form. Suppose that <jats:italic>S<\/jats:italic> is a continuous semimartingale and satisfies a large deviations estimate; this is a particular growth condition on the mean-variance tradeoff process of <jats:italic>S<\/jats:italic>. We show that <jats:italic>S<\/jats:italic> then allows asymptotic exponential arbitrage with exponentially decaying failure probability, which is a strong and quantitative form of long-term arbitrage. In contrast to F\u00f6llmer and Schachermayer (2007), our result does not assume that <jats:italic>S<\/jats:italic> is a diffusion, nor does it need any ergodicity assumption.<\/jats:p>","DOI":"10.1017\/s0021900200009852","type":"journal-article","created":{"date-parts":[[2016,3,29]],"date-time":"2016-03-29T14:50:57Z","timestamp":1459263057000},"page":"801-809","source":"Crossref","is-referenced-by-count":1,"title":["A Note on Asymptotic Exponential Arbitrage with Exponentially Decaying Failure Probability"],"prefix":"10.1017","volume":"50","author":[{"given":"Kai","family":"Du","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ariel David","family":"Neufeld","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2016,3,1]]},"reference":[{"key":"S0021900200009852_ref2","volume-title":"Limit Theorems for Stochastic Processes","year":"2003"},{"key":"S0021900200009852_ref1","first-page":"213","volume":"1","year":"2007","journal-title":"Math. Finance Econom"},{"key":"S0021900200009852_ref3","volume-title":"Brownian Motion and Stochastic Calculus","year":"2000"},{"key":"S0021900200009852_ref4","doi-asserted-by":"publisher","DOI":"10.1007\/s10479-011-0892-5"},{"key":"S0021900200009852_ref5","doi-asserted-by":"publisher","DOI":"10.1080\/07362999508809418"}],"container-title":["Journal of Applied Probability"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/www.cambridge.org\/core\/services\/aop-cambridge-core\/content\/view\/S0021900200009852","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,4,26]],"date-time":"2023-04-26T07:25:44Z","timestamp":1682493944000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.cambridge.org\/core\/product\/identifier\/S0021900200009852\/type\/journal_article"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2013,9]]},"references-count":5,"journal-issue":{"issue":"03","published-print":{"date-parts":[[2013,9]]}},"alternative-id":["S0021900200009852"],"URL":"https:\/\/doi.org\/10.1017\/s0021900200009852","relation":{},"ISSN":["0021-9002","1475-6072"],"issn-type":[{"value":"0021-9002","type":"print"},{"value":"1475-6072","type":"electronic"}],"subject":[],"published":{"date-parts":[[2013,9]]}}}