Titlebook: Séminaire de Probabilités XLVI; Catherine Donati-Martin,Antoine Lejay,Alain Rouaul Book 2014 Springer International Publishing Switzerland

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Unimodality of Hitting Times for Stable Processes,2009), whereas in the completely asymmetric case we apply an identity of the second author (Simon, Stochastics 83(2):203–214, 2011). The method extends to the general case thanks to a fractional moment evaluation due to Kuznetsov et al. (Electr. J. Probab. 19:30, 1–26, 2014), for which we also provide a short independent proof.

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acolyte

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Admissible Trading Strategies Under Transaction Costs,one with a numéraire-free notion of admissibility. It turns out that this distinction on the primal side perfectly corresponds to the difference between local martingales and true martingales on the dual side.?A counter-example reveals that the consideration of transaction costs makes things more delicate than in the frictionless setting.

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