报告题目：On the dual problem of utility maximization

报 告 人：林一青（ École Polytechnique，France）

报告时间：2016年5月11日上午11:00开始

报告地点：本部览秀楼105学术报告厅

报告人简介:

学术经历

2009 - 2013 Ph. D. Université de Rennes 1

2013 - 2015 Post-doc Universität Wien

2015 - 2016 Post-doc École Polytechnique

研究方向

Nonlinear expectations and applications

Utility maximization

Markets with transaction costs

报告摘要

In this talk, we present the study to the dual problem of the expected utility maximization in incomplete markets with bounded random endowment. We prove the following statement: in the Brownian framework, the countably additive part of the dual optimizer can be represented by the terminal value of a supermartingale deflator, which is a local martingale.