SIAM Journal on Control and Optimization, Vol.55, No.6, 3592-3608, 2017
SKOROHOD'S REPRESENTATION THEOREM AND OPTIMAL STRATEGIES FOR MARKETS WITH FRICTIONS
We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which previously pertained only to risk-averse utility maximizers. The arguments exploit an extension of Skorohod's representation theorem for tight sequences of probability measures. This method is applicable in a number of similar optimization problems.