Utility maximization with a stochastic clock and an unbounded random endowment

DOI10.1214/105051604000000738zbMath1108.91032arXivmath/0503516MaRDI QIDQ1774197

Gordan Žitković

Publication date: 29 April 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503516

zbMATH Keywords

finitely additive measures; onvex duality

Mathematics Subject Classification ID

60G99: Stochastic processes

60H99: Stochastic analysis

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