Stability of the indirect utility process
Probability
2020-02-24 v1 Optimization and Control
Mathematical Finance
Abstract
We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect-utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.
Keywords
Cite
@article{arxiv.2002.09445,
title = {Stability of the indirect utility process},
author = {Oleksii Mostovyi},
journal= {arXiv preprint arXiv:2002.09445},
year = {2020}
}
Comments
34 pages, preliminary version