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...

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...

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...