Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment
| dc.creator | Zitkovic, Gordan | |
| dc.date | 2005-03-24 | |
| dc.date.accessioned | 2026-07-07T12:11:12Z | |
| dc.date.available | 2026-07-07T12:11:12Z | |
| dc.description | 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. | |
| dc.description | Published at http://dx.doi.org/10.1214/105051604000000738 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/math/0503516 | |
| dc.identifier | http://arxiv.org/abs/math/0503516 | |
| dc.identifier | Annals of Applied Probability 2005, Vol. 15, No. 1B, 748-777 | |
| dc.identifier | doi:10.1214/105051604000000738 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/210148 | |
| dc.subject | Probability | |
| dc.subject | Computational Finance | |
| dc.subject | 91B28 (Primary) 60G99, 60H99. (Secondary) | |
| dc.title | Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment | |
| dc.type | text |