Utility maximization with a stochastic clock and an unbounded random endowment
type: Item
instance of: scholarly article
title: Utility maximization with a stochastic clock and an unbounded random endowment
zbMATH Open document ID: 1108.91032
DOI: 10.1214/105051604000000738
author: Gordan Žitković
published in: The Annals of Applied Probability
publication date: 2005-04-29T00:00:00Z
full work available at URL: https://arxiv.org/abs/math/0503516
review text: We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and uniqueness for a large class of utility-maximization problems including the classical ones of terminal wealth or consumption, as well as the problems that depend on a random time horizon or multiple consumption instances. As an example we explicitly treat the problem of maximizing the logarithmic utility of a consumption stream, where the local time of an Ornstein-Uhlenbeck process acts as a stochastic clock.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60G99
Mathematics Subject Classification ID: 60H99
zbMATH DE Number: 2162807
zbMATH Keywords: onvex duality
zbMATH Keywords: finitely additive measures
MaRDI profile type: Publication
OpenAlex ID: W2952689398
arXiv ID: math/0503516
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description: scientific article