Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Convergence of Optimal Expected Utility for a Sequence of Binomial
  Models   We analyze the convergence of expected utility under the approximation of the
Black-Scholes model by binomial models. In a recent paper by D. Kreps and W.
Schachermayer a surprising and somewhat counter-intuitive example was given:
such a convergence may, in general, fail to hold true. This counterexample is
based on a binomial model where the i.i.d. logarithmic one-step increments have
strictly positive third moments. This is the case, when the up-tick of the
log-price is larger than the down-tick. In the paper by D. Kreps and W.
Schachermayer it was left as an open question how things behave in the case
when the down-tick is larger than the up-tick and -- most importantly -- in the
case of the symmetric binomial model where the up-tick equals the down-tick. Is
there a general positive result of convergence of expected utility in this
setting? In the present note we provide a positive answer to this question. It
is based on some rather fine estimates of the convergence arising in the
Central Limit Theorem.

19
The categories of this paper are: eess
26
The categories of this paper are: bayes-an
1
The categories of this paper are: cs
28
The categories of this paper are: alg-geom
7
The categories of this paper are: hep-th
8
The categories of this paper are: hep-ex
13
The categories of this paper are: quant-ph
10
The categories of this paper are: q-bio
15
The categories of this paper are: nucl-ex
6
The categories of this paper are: astro-ph
35
The categories of this paper are: mtrl-th
22
The categories of this paper are: chao-dyn
3
The categories of this paper are: physics
12
The categories of this paper are: nucl-th
16
The categories of this paper are: stat
29
The categories of this paper are: funct-an