Continuity of utility maximization under weak convergence
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
https://link.springer.com/content/pdf/10.1007/s11579-020-00274-x.pdf
Reference43 articles.
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3. Bayraktar, E., Ross, K.: Stability of exponential utility maximization with respect to market perturbations. Stoch. Process. Appl. 123(5), 1071–1690 (2013). https://doi.org/10.1016/j.spa.2012.12.007
4. Biagini, S., Marco, F.: A unified framework for utility maximization problems: an Orlicz space approach. Ann. Appl. Probab. 18(3), 929–966 (2008). https://doi.org/10.1214/07-AAP469
5. Billingsley, P.: Convergence of probability measures. Wiley Series in Probability and Statistics: Probability and Statistics. Wiley, New York, second edition, 1999. ISBN 0-471-19745-9. A Wiley-Interscience Publication. https://doi.org/10.1002/9780470316962
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