On the Stability of Utility Maximization Problems

Erhan Bayraktar and Ross Kravitz

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Abstract: 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.

Date: 2010-10, Revised 2011-03
New Economics Papers: this item is included in nep-upt
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