有交易费市场中套利问题的注记

NOTES ABOUT ARBITRAGE OF MARKET UNDER TRANSACTION COSTS

对有交易费的资产模型，本文引入了市场有套利机会的一般定义，并利用辅助鞅和资产折算函数方法，讨论了无套利市场的基本性质，即在可允许投资策略下市场不存在套利机会．

In this paper, we introduce the general definition of arbitrage opportunity for the given market model under transaction costs, also discuss the basic properties of no-arbitrage market by using the methods of auxiliary martingales and the discount asset function, that is, under the admissible trading strategy there is not arbitrage opportunity in the market.