有资助的消费和最终资产的效用最大化

Utility Maximization from Consumption and Terminal Wealth with Random Endowment

本文主要讨论带有随机资助过程的消费和终端财富效用最大化问题 .当对偶域为 (L∞) 时 ,利用对偶方法 ,求得问题的最优解对().

This paper discussed the problem of utility maximization with random endowment from consumption and terminal wealth.When the dual domain was (L∞)*,using duality,the optimal solution (,) was found for the problem.