Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2009
observations, semimartingale,
stable convergence.
JEL Classi cation: C10, C13, C14.
1 Introduction
In the last decade there has … the no-arbitrage assumptions price processes must follow a semimartingale (see e.g.
[7]), there was a need for … this paper we are in a framework of a one-dimensional It^o semimartingale,
i.e.
Xt = X0 +
Z t
0
asds+
Z t
0
sdWs + 1fj j 1 …