We consider several problems of optimal investment with intermediate consumption in the framework of an incomplete semimartingale model of a financial market. Our goal is to find minimal conditions on the model and the utility stochastic field for the validity of several key assertions of the theory to hold true. We show that a necessary and sufficient condition on both the utility stochastic field and the model is that the value functions of the primal and dual problems are finite.
In this paper 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.
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We consider several problems
In this paper we consider a problem
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Our goal is to find minimal conditions on the model and the utility stochastic field for the validity of several key assertions of the theory to hold true.
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on both the utility stochastic field and the model
for the validity of key assertions of the theory