On the semimartingale property via bounded logarithmic utility
Portfolio Management
2008-12-10 v1 Probability
Pricing of Securities
Abstract
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and \{O}ksendal (2005) ensuring the semimartingale property for a large class of continuous stochastic processes. Unlike our predecessors, we base our modeling framework on the concept of portfolio proportions which yields a short self-contained proof of the main theorem, as well as a counterexample, showing that analogues of our results do not hold in the discontinuous setting.
Cite
@article{arxiv.0706.0468,
title = {On the semimartingale property via bounded logarithmic utility},
author = {Kasper Larsen and Gordan Zitkovic},
journal= {arXiv preprint arXiv:0706.0468},
year = {2008}
}