Stability of exponential utility maximization with respect to market perturbations (Q1947599)

The authors provide a nice stability result for the problem of maximizing expected exponential utility; specifically, conditions under which convergence of markets implies the convergence of optimal terminal wealths as well as their expected utility. Two main ingredients are used in the proofs: a lower semi-continuity \(V\)-compactness criterion, and a uniform bound on the \({\mathrm{BMO}}_2\)-norm of the underlying stochastic integrals.