Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments (Q4034503)

From the author's abstract and introduction: ``The object of this paper is to prove the existence and uniqueness of an optimal plan in a slightly modified version of the portfolio-cum-saving (PS) model formulated in a previous paper of the author [Stochastics Stochastics Rep. 29, No. 1, 133--170 (1990; Zbl 0694.90038)]. In this model, the vector process representing returns to investments is a general semimartingale. Processes defining portfolio plans are here required only to be predictable and non-negative. Existence of an optimal portfolio-cum- saving plan is proved under slight conditions of integrability imposed on the welfare functional; the proofs rely on properties of weak precompactness of portfolio and utility sequences in suitable \(L_ p\) spaces together with dominated and monotone convergence arguments. Conditions are also obtained for the uniqueness of the portfolio plan generating a given returns process (i.e. for the uniqueness of the integrands generating a given sum of semimartingale integrals) and for the uniqueness of an optimal plan; here use is made of random measures associated with the jumps of a semimartingale''.