Date of Award

2012

Embargo Period

1-16-2013

Degree Type

Dissertation

Degree Name

Doctor of Philosophy (PhD)

Department

Mathematical Sciences

Advisor(s)

Dmitry Kramkov

Abstract

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.

Included in

Mathematics Commons

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