Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
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Abstract: We consider a problem of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. We show that a necessary and sufficient condition for the validity of key assertions of the theory is that the value functions of the primal and dual problems are finite
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Cited in
(31)- Stochastic integration with respect to arbitrary collections of continuous semimartingales and applications to mathematical finance
- Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics
- An expansion in the model space in the context of utility maximization
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