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On the Stability of Utility Maximization Problems


  • Erhan Bayraktar
  • Ross Kravitz


In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the stopping time $\tau$. To establish our results, we extend the classical results of convex analysis to maps from $L^0$ to $L^0$. The notion of convex compactness introduced in [7] plays an important role in our analysis.

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  • Erhan Bayraktar & Ross Kravitz, 2010. "On the Stability of Utility Maximization Problems," Papers 1010.4322,, revised Mar 2011.
  • Handle: RePEc:arx:papers:1010.4322

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    Cited by:

    1. Markus Mocha & Nicholas Westray, 2011. "The Stability of the Constrained Utility Maximization Problem - A BSDE Approach," Papers 1107.0190,

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