We consider the problem of optimal consumption of multiple goods in incomplete semimartingale markets. We formulate the dual problem and identify conditions that allow for the existence and uniqueness of the solution, and provide a characterization of the optimal consumption strategy in terms of the dual optimizer. We illustrate our results with examples in both complete and incomplete models. In particular, we construct closed-form solutions in some incomplete models.
Nondiffusive variational problems with distributional and weak gradient constraints
Abstract In this article, we consider nondiffusive variational problems with mixed boundary conditions and (distributional and weak) gradient constraints. The upper bound in the constraint is either a function or a Borel measure, leading to the state space being a Sobolev one or the space of functions of bounded variation. We address existence and uniqueness of the model under low regularity assumptions, and rigorously identify its Fenchel pre-dual problem. The latter in some cases is posed on a nonstandard space of Borel measures with square integrable divergences. We also establish existence and uniqueness of solution to this pre-dual problem under some assumptions. We conclude the article by introducing a mixed finite-element method to solve the primal-dual system. The numerical examples illustrate the theoretical findings.
- Publication Date:
- NSF-PAR ID:
- 10253617
- Journal Name:
- Advances in Nonlinear Analysis
- Volume:
- 11
- Issue:
- 1
- Page Range or eLocation-ID:
- 1466 to 1495
- ISSN:
- 2191-950X
- Sponsoring Org:
- National Science Foundation
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- https://doi.org/10.1515/anona-2022-0227
