Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment

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dc.creatorZitkovic, Gordan
dc.date2007-05-30
dc.date.accessioned2026-07-07T12:10:23Z
dc.date.available2026-07-07T12:10:23Z
dc.descriptionWe 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 depending on a random time-horizon or multiple consumption instances. As an example we treat explicitly 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.
dc.identifierhttps://arxiv.org/abs/0705.4487
dc.identifierhttp://arxiv.org/abs/0705.4487
dc.identifierAnn. Appl. Prob (2005), vol. 15, no. 1B, pp. 748-777
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209922
dc.subjectGeneral Finance
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectPrimary: 91B28 Secondary: 60G99 60H99
dc.titleUtility Maximization with a Stochastic Clock and an Unbounded Random Endowment
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