Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

DOI10.1214/105051605000000467zbMath1101.60026arXivmath/0602451MaRDI QIDQ2496494

Huyên Pham, Bruno Bouchard

Publication date: 10 July 2006

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

Full work available at URL: https://arxiv.org/abs/math/0602451

zbMATH Keywords

financial markets with transaction costs; multivariate nonsmooth utility maximization; robust no-arbitrage; super-hedging theorem

Mathematics Subject Classification ID

60G42: Martingales with discrete parameter

Related Items

No-arbitrage in discrete-time markets with proportional transaction costs and general information structure, Constrained nonsmooth utility maximization without quadratic inf convolution

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