On the semimartingale property via bounded logarithmic utility
نویسنده
چکیده
This paper provides a new version of the condition of Di Nunno et al. (2003), Ankirchner and Imkeller (2005) and Biagini and Øksendal (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.
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تاریخ انتشار 2006