On the semimartingale property via bounded logarithmic utility

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.

K. Larsen, G. Zitkovic, "On the semimartingale property via bounded logarithmic utility" (2006) to appear in Annals of Finance