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Necessary and Sufficient Conditions in the Problem of Optimal Investment with Intermediate Consumption

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posted on 01.01.2012, 00:00 by Oleksii Mostovyi

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.

History

Date

01/01/2012

Degree Type

Dissertation

Department

Mathematical Sciences

Degree Name

Doctor of Philosophy (PhD)

Advisor(s)

Dmitry Kramkov

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