Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment

Mathematics – Probability

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Published at http://dx.doi.org/10.1214/105051604000000738 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051604000000738

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.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

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

     

Profile ID: LFWR-SCP-O-586878

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.