BFS 2002 

Contributed Talk 
Gordan Zitkovic, Ioannis Karatzas
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with
a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The
notion of asymptotic elasticity of Kramkov and Schachermayer is extended to the timedependent case. By imposing no smoothness requirements on the utility function in the temporal argument, we
can treat both pure consumption and combined consumption/terminal wealth problems, in a common framework. To make the duality approach possible, we provide a detailed characterization of the enlarged dual domain which is reminiscent of the enlargement of $L^1$ to its topological bidual $(L^{\infty})^*$, a space of
finitelyadditive measures. As an application, we treat the case of a constrained It\^ oprocess marketmodel.
http://www.stat.columbia.edu/~gordanz/KarZit01a.pdf