Optimal consumption from investment and random endowment in incomplete semimartingale markets.

DOI10.1214/aop/1068646367zbMath1076.91017arXiv0706.0051OpenAlexW2107436350MaRDI QIDQ1433880

Ioannis Karatzas, Gordan Žitković

Publication date: 1 July 2004

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

Full work available at URL: https://arxiv.org/abs/0706.0051

zbMATH Keywords

stochastic processesincomplete marketsconvex dualityrandom endowmentutility maximizationfinitely additive measures

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Martingales with continuous parameter (60G44) General theory of stochastic processes (60G07) Portfolio theory (91G10)

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