%0 Journal Article
%T On the Stability of Utility Maximization Problems
%A Erhan Bayraktar
%A Ross Kravitz
%J Mathematics
%D 2010
%I arXiv
%X In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the stopping time $\tau$. To establish our results, we extend the classical results of convex analysis to maps from $L^0$ to $L^0$. The notion of convex compactness introduced in [7] plays an important role in our analysis.
%U http://arxiv.org/abs/1010.4322v4