Stability of the indirect utility process
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Publication:4999900
DOI10.1137/19M1260359zbMATH Open1467.91164arXiv2002.09445OpenAlexW3157618145MaRDI QIDQ4999900FDOQ4999900
Authors: Oleksii Mostovyi 
Publication date: 5 July 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Abstract: We investigate the dynamic stability of the indirect utility process associated with a (possibly suboptimal) trading strategy under perturbations of the market. Establishing the reverse conjugacy characterizations first, we prove continuity and first-order convergence of the indirect-utility process under simultaneous perturbations of the finite variation and martingale parts of the return of the risky asset.
Full work available at URL: https://arxiv.org/abs/2002.09445
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stabilityincomplete marketarbitrage of the first kindduality theorylocal martingale deflatorindirect utilityno unbounded profit with bounded risk
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