Optimal consumption from investment and random endowment in incomplete semimartingale markets

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dc.creatorKaratzas, Ioannis
dc.creatorZitkovic, Gordan
dc.date2007-06-01
dc.date.accessioned2026-07-07T12:10:23Z
dc.date.available2026-07-07T12:10:23Z
dc.descriptionWe consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of asymptotic elasticity of Kramkov and Schachermayer is extended to the time-dependent case. By imposing no smoothness requirements on the utility function in the temporal argument, we can treat both pure consumption and combined consumption/terminal wealth problems, in a common framework. To make the duality approach possible, we provide a detailed characterization of the enlarged dual domain which is reminiscent of the enlargement of $L^1$ to its topological bidual $(L^{\infty})^*$, a space of finitely-additive measures. As an application, we treat the case of a constrained It\^ o-process market-model.
dc.identifierhttps://arxiv.org/abs/0706.0051
dc.identifierhttp://arxiv.org/abs/0706.0051
dc.identifierAnnals of Probability (2003) vol. 31 no. 4 pp. 1821-1858
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/209923
dc.subjectPortfolio Management
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectPrimary 91A09, 90A10; secondary 90C26.
dc.titleOptimal consumption from investment and random endowment in incomplete semimartingale markets
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