具有给定最优投资组合的随机公用事业：随机流方法
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
摘要：
本文推广了M. Mrad和N. El Karoui in（2010）.效用随机场是从一般的过程类定义的，用$\GX$表示。在对测试过程作最小假设和凸约束的条件下，通过构造两个随机同胚流，构造了所有给定最优基准过程的相容随机效用函数，它们在初始条件下严格递增.证明基本上是基于随机变量变化技术。
英文摘要：
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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