Convergence of utility functions and convergence of optimal strategies
نویسندگان
چکیده
منابع مشابه
Convergence of utility functions and convergence of optimal strategies
In this paper we study the stability (in the L as well as for the almost sure convergence sense) of the optimal investment-consumption strategy with respect to the choice of the utility function.
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On The Mean Convergence of Biharmonic Functions
Let denote the unit circle in the complex plane. Given a function , one uses t usual (harmonic) Poisson kernel for the unit disk to define the Poisson integral of , namely . Here we consider the biharmonic Poisson kernel for the unit disk to define the notion of -integral of a given function ; this associated biharmonic function will be denoted by . We then consider the dilations ...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2004
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-003-0106-3