We consider a financial market with liquidity cost as in Cetin, Jarrow and Protter [3] where the supply function S"(s; ) depends on a parameter " 0 with S0(s; ) = s corresponding to the perfect liquid situation. Using the PDE characterization of Cetin, Soner and Touzi [6] of the super-hedging...

Given a process with independent increments X (not necessarily a martingale) and a large class of square integrable r.v. H = f(X T ), f being the Fourier transform of a finite measure μ, we provide a direct expression for Kunita-Watanabe and Föllmer-Schweizer decompositions of H. The...