论文标题
不断交易的资产交易：一个警示性的故事
Asset Trading in Continuous Time: A Cautionary Tale
论文作者
论文摘要
动态资产交易的连续时间模型是现代金融的中心模型。由于实际上不能在每时每刻进行交易，因此似乎可以证明可以将连续的时间模型视为只有在（许多）离散时间时才发生交易的模型的极限。本文表明，如果我们像连续模型一样认真对待最终财富约束和自我融资约束，那么连续交易模型就不必是离散交易模型的限制。这引发了有关连续时间模型的严重基础问题。
The continuous time model of dynamic asset trading is the central model of modern finance. Because trading cannot in fact take place at every moment of time, it would seem desirable to show that the continuous time model can be viewed as the limit of models in which trading can occur only at (many) discrete moments of time. This paper demonstrates that, if we take terminal wealth constraints and self-financing constraints as seriously in the discrete model as in the continuous model, then the continuous trading model need not be the limit of discrete trading models. This raises serious foundational questions about the continuous time model.
