Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment
摘要
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.
引用
@article{arxiv.math/0503516,
title = {Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment},
author = {Gordan Zitkovic},
journal= {arXiv preprint arXiv:math/0503516},
year = {2008}
}
备注
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)