Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows

The paper generalizes the construction by stochastic flows of consistent utility processes introduced by M. Mrad and N. El Karoui in (2010). The utilities random fields are defined from a general class of processes denoted by $\GX$. Making minimal assumptions and convex constraints on test-processes, we construct by composing two stochastic flows of homeomorphisms, all the consistent stochastic utilities whose the optimal-benchmark process is given, strictly increasing in its initial condition. Proofs are essentially based on stochastic change of variables techniques.

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Source https://hal.science/hal-00477380
Author El Karoui, Nicole, M'Rad, Mohamed
Maintainer CCSD
Last Updated May 11, 2026, 16:05 (UTC)
Created May 11, 2026, 16:05 (UTC)
Identifier hal-00477380
Language en
Rights https://about.hal.science/hal-authorisation-v1/
contributor Centre de Mathématiques Appliquées de l'Ecole polytechnique (CMAP) ; Institut National de Recherche en Informatique et en Automatique (Inria)-École polytechnique (X) ; Institut Polytechnique de Paris (IP Paris)-Institut Polytechnique de Paris (IP Paris)-Centre National de la Recherche Scientifique (CNRS)
creator El Karoui, Nicole
date 2010-04-01T00:00:00
harvest_object_id 4eadc64f-e3ef-423b-99da-c43a9aa4e472
harvest_source_id 3374d638-d20b-4672-ba96-a23232d55657
harvest_source_title test moissonnage SELUNE
metadata_modified 2025-10-06T00:00:00
relation info:eu-repo/semantics/altIdentifier/arxiv/1004.5192
set_spec type:UNDEFINED