We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present.
我们进行了一个关于半鞅模型(包括流动和非流动资产在内)的效用最大化问题的稳定性分析。
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We also study stochastic integrals with respect to ff-valued semimartingale random measures and introduce the concept of vague convergence of H-valued semimartingale random measures.