| Article ID: | iaor20126096 |
| Volume: | 200 |
| Issue: | 1 |
| Start Page Number: | 131 |
| End Page Number: | 146 |
| Publication Date: | Nov 2012 |
| Journal: | Annals of Operations Research |
| Authors: | Mbele Bidima Martin, Rasonyi Miklos |
| Keywords: | queues: applications |
A discrete‐time infinite horizon stock market model is considered where the logarithm of the price is assumed to be a Markov chain arising from the time‐discretization of a stochastic differential equation. Conditions are given which ensure that there exist investment strategies producing an exponential growth of wealth with a probability converging to 1. The rate of this convergence is studied using large deviation techniques.