The stochastic field of aggregate utilities and its saddle conjugate

Peter Bank and Dmitry Kramkov

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Abstract: We describe the sample paths of the stochastic field $F = F_t(v,x,q)$ of aggregate utilities parameterized by Pareto weights $v$ and total cash amounts $x$ and stocks' quantities $q$ in an economy. We also describe the sample paths of the stochastic field $G = G_t(u,y,q)$, which is conjugate to $F$ with respect to the saddle arguments $(v,x)$, and obtain various conjugacy relations between these stochastic fields. The results of this paper play a key role in our study of a continuous-time price impact model.

Date: 2013-10
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Published in Tr. Mat. Inst. Steklova, 2014, Volume 287, Pages 21-60

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