Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment

Details Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment

2007-05-30

arxiv.org/abs/0705.4487v1

Ann. Appl. Prob (2005), vol. 15, no. 1B, pp. 748-777

Economy

Quantitative Finance

General Finance

Scientific paper

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 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.

Affiliated with

Also associated with

No associations

Rating

Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-288289