A generalized correlated random walk is a process X_k of partial sums of random variables Y_j such that (X,Y) forms a Markov chain. For a sequence X^n of such processes where each Y^n_j takes only two values, we prove weak convergence to a diffusion process whose generator is explicitly...

We study the dynamic utility indifference value process p(X) when the usefulness of X is evaluated via a dynamic monetary concave utility functional (DMCUF) instead of von Neumann/Morgenstern expected utility. A DMCUF is minus a dynamic convex risk measure. The key tools for our investigations...