Kohlmann, Michael; Niethammer, Christina R. - In: Stochastic Processes and their Applications 117 (2007) 12, pp. 1813-1834
We provide a method for solving dynamic expected utility maximization problems with possibly not everywhere increasing utility functions in an Lp-semimartingale setting. In particular, we solve the problem for utility functions of type (exponential problem) and (2m-th problem). The convergence...