Before revision:  0 \leq t \leq T in a market with the risky asset price process modeled as a semimartingale   The optimal scenario dQ^*{dP} of the dual problem to minimize the expected V-value of dQ{dP} over a family of equivalent local martingale measures Q . Here V is the convex dual function of the concave function U.
After revision:  0 \leq t \leq T in a market with the risky asset price process modeled as a semimartingale  The optimal scenario dQ^*{dP} of the dual problem to minimize the expected V-value of dQ{dP} over a family of equivalent local martingale measures Q , where V is the convex dual function of the concave function U.