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math.PR2007★ 26 cited
A filtered version of the bipolar theorem of Brannath and Schachermayer
Gordan Zitkovic
We extend the Bipolar Theorem of Brannath and Schachermayer (1999) to the space of nonnegative cadlag supermartingales on a filtered probability space. We formulate the notion of f…
math.PR2005
Utility Maximization with a Stochastic Clock and an Unbounded Random Endowment
Gordan Zitkovic
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowme…