Presentation Name: Optimality of Sub-differential Valued Random Variables
Presenter: Professor Harry Zheng
Date: 2010-12-07
Location: 光华东主楼1801室
Abstract:

n this talk we discuss the utility maximization in a nonsmooth setting and give a counterexample to a conjecture made in Deelstra-Pham-Touzi (2001) on the optimality of random variables valued in a subdifferential of the dual optimal solution. We derive minimal sufficient conditions on a random variable for it to be a primal optimizer in the case where the utility function is not strictly concave.

 

Annual Speech Directory: No.111

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