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On the Dynamics of Semimartingales with Two Reflecting Barriers
Dynamics Semimartingales Reflecting Barriers
2015/7/6
We consider a semimartingale X which is reflected at an upper barrier T and a lower barrier S, where S and T are also semimartingales such that T is bounded away from S. First, we present an explicit ...
Necessary and sufficient conditions for extended convergence of semimartingales
Necessary and sufficient conditions extended convergence of semimartingales
2009/9/23
The extended convergence (in sense of Aldous [I]) of
processes with filtrations is considered. There are examined the
cases where the well-known conditions, sufficient for the weak
convergence of s...
Indifference price with general semimartingales
Indifference price - utility maximization – non locally bounded semimartingale –random endowment - incomplete market – Orlicz space – convex duality - convex risk measure
2010/11/1
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...