Ghomrasni, Raouf - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
Fernholz.
Key words and phrases: Portfolio-generating function, continuous semimartingale,
local time, ranked processes.
MSC …)−).
where L0t(X) is the local time of the continuous semimartingale X at 0.
Proof: We adapt here the proof given by Chitashvili …(X) is the local time of the continuous semimartingale X at 0.
Proof: We fixe i = 1,··· ,n and we deal with integraltextt0 1 …
