Summary: Monotone utility convergence
Stefan Ankirchner
Department of Mathematics
Imperial College
London SW7 2AZ
March 28, 2006
Abstract
We show that the maximal expected utility satisfies a monotone
continuity property with respect to increasing information: Let (Gn
t )
be a sequence of increasing filtrations converging to (G
t ), and un
(x)
and u
(x) the maximal expected utility when investing on a financial
market according to strategies adapted to (Gn
t ) and (G
t ) respectively.
We give sufficient conditions for the convergence un
(x) u

Source: Ankirchner, Stefan - Institut für Angewandte Mathematik, Universität Bonn

Collections: Mathematics