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摘要翻译：
在一般半鞅模型中，我们对存在流动资产和非流动资产（随机捐赠）的效用最大化问题进行了稳定性分析。考虑了偏好的小的错误规格（通过预期效用建模），以及对世界或市场模型的看法（通过主观概率建模）。在最优财富和基于边际效用的价格是偏好和概率观点的连续泛函的意义下，给出了该问题适定性的简单充分条件。
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英文标题：
《Stability of the utility maximization problem with random endowment in
incomplete markets》
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作者：
Constantinos Kardaras and Gordan Zitkovic
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
We perform a stability analysis for the utility maximization problem in a general semimartingale model where both liquid and illiquid assets (random endowments) are present. Small misspecifications of preferences (as modeled via expected utility), as well as views of the world or the market model (as modeled via subjective probabilities) are considered. Simple sufficient conditions are given for the problem to be well-posed, in the sense the optimal wealth and the marginal utility-based prices are continuous functionals of preferences and probabilistic views.
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PDF链接：
https://arxiv.org/pdf/0706.0482
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