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math.PR2018
Optimal investment and consumption with labor income in incomplete markets
Oleksii Mostovyi, Mihai Sîrbu
We consider the problem of optimal consumption from labor income and investment in a general incomplete semimartingale market. The economic agent cannot borrow against future incom…
math.PR2018
Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire
Oleksii Mostovyi
In an incomplete model, where under an appropriate numéraire, the stock price process is driven by a sigma-bounded semimartingale, we investigate the behavior of the expected utili…