

























This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of multi-asset markets with proportional transaction costs. A key challenge is that the theorem does not necessarily preserve adaptedness, meaning that solutions obtained on an auxiliary probability space may not correspond to those on the original one. We establish that, under mild conditions, the Bellman functionals remain consistent across different probability spaces.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。