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We give conditions under which the normalized marginal distri-bution of a semimartingale converges to a Gaussian limit law as time tends to zero. In particular, our result is applicable to solutions o...
The purpose of this paper is two-fold. First is to extend the notions of an n-dimensional semimartin-gale and its stochastic integral to a piecewise semimartingale of stochastic dimension. The propert...
This paper does not suppose a priori that the evolution of the price of a financial asset is a semimartingale. Since possible strategies of investors are self-financing, previous prices are forced to ...
The Bellman Equation for Power Utility Maximization with Semimartingales.
For utility functions u finite valued on R, we prove a duality formula for utility maximization with random endowment in general semimartingale incomplete markets. The main novelty of the paper is th...

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