A unified framework for utility maximization problems: An orlicz space approach

Annals of Applied Probability

Volumn 18, Issue 3, 2008, Pages 929-966

  Biagini, Sara ^a   Frittelli, Marco ^b  

^a UNIVERSITY OF PERUGIA   (Italy)

^b UNIVERSITY OF MILAN   (Italy)

Author keywords

martingale measure; Convex duality; Incomplete market; Nonlocally bounded semimartingale; Orlicz space; Singular functionals; Utility maximization

Indexed keywords

EID: 52949142754     PISSN: 10505164     EISSN: 10505164     Source Type: Journal    
DOI: 10.1214/07-AAP469     Document Type: Article

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