Arxiv
| Presentation Name： | Optimality of Sub-differential Valued Random Variables |
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| Presenter： | Professor Harry Zheng |
| Date： | 2010-12-07 |
| Location🧑🧒： | 光华东主楼1801室 |
| Abstract： | n this talk we discuss the utility maximization in a nonsmooth setting and give a counterexample to a conjecture made in Deelstra-Pham-Touzi (2001) on the optimality of random variables valued in a subdifferential of the dual optimal solution. We derive minimal sufficient conditions on a random variable for it to be a primal optimizer in the case where the utility function is not strictly concave.
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| Annual Speech Directory💁🏼♂️： | No.111 |
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