On the semimartingale property via bounded logarithmic utility

DOI10.1007/s10436-006-0067-6zbMath1233.91340arXiv0706.0468MaRDI QIDQ665818

Juan-Miguel Gracia

Publication date: 6 March 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0706.0468

zbMATH Keywords

stochastic processes; semimartingales; utility maximization; financial markets; arbitrage; logarithmic utility; enlargement of filtrations

Mathematics Subject Classification ID

60G48: Generalizations of martingales

91G80: Financial applications of other theories

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)

91G10: Portfolio theory