UTILITY MAXIMIZATION IN A LARGE MARKET
研究了存在可数无限多交易资产的大市场中，具有随机效用函数的代理人如何实现期望效用最大化，并给出了价值函数的有限维近似刻画。
Abstract We study the problem of expected utility maximization in a large market, i.e., a market with countably many traded assets. Assuming that agents have von Neumann–Morgenstern preferences with stochastic utility function and that consumption occurs according to a stochastic clock, we obtain the “usual” conclusions of the utility maximization theory. We also give a characterization of the value function in a large market in terms of a sequence of value functions in finite‐dimensional models.