B. Bouchard, Stochastic control and applications in finance, 2000.

B. Bouchard, Y. M. Kabanov, and N. Touzi, Option pricing by large risk aversion utility??under transaction costs, Decisions in Economics and Finance, vol.24, issue.2, pp.127-136, 2001.
DOI : 10.1007/s102030170003

P. Collin-dufresne and J. Hugonnier, Pricing and hedging in the presence of extraneous risks, 2004.

J. Cvitani´ccvitani´c and I. Karatzas, Hedging Contingent Claims with Constrained Portfolios, The Annals of Applied Probability, vol.3, issue.3, pp.652-681, 1993.
DOI : 10.1214/aoap/1177005357

L. Carassus and M. Rásonyi, Optimal strategies and utilitybased prices converge when agents' preferences do, 2005.
URL : https://hal.archives-ouvertes.fr/hal-00004126

F. Delbaen, P. Grandits, T. Rheinländer, D. Samperi, M. Schweizer et al., Exponential Hedging and Entropic Penalties, Mathematical Finance, vol.23, issue.2, pp.99-123, 2002.
DOI : 10.1111/1467-9965.00093

R. Hodges and K. Neuberger, Optimal replication of contingent claims under transaction costs, Rev. Futures Mkts, vol.8, pp.222-239, 1989.

E. Karoui, N. Quenez, and M. , Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market, SIAM Journal on Control and Optimization, vol.33, issue.1, pp.29-66, 1995.
DOI : 10.1137/S0363012992232579

H. Föllmer and Y. M. Kabanov, Optional decomposition and Lagrange multipliers, Finance and Stochastics, vol.2, issue.1, pp.69-81, 1998.
DOI : 10.1007/s007800050033

J. Jacod and A. N. Shiryaev, Local martingales and the fundamental asset pricing theorems in the discrete-time case, Finance and Stochastics, vol.2, issue.3, pp.259-273, 1998.
DOI : 10.1007/s007800050040

Y. M. Kabanov and C. Stricker, A teachers' note on noarbitrage criteria, pp.149-152, 2001.

D. O. Kramkov, Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets. Probab. Theory Related Fields, pp.459-479, 1996.

M. Rásonyi and L. Stettner, On the utility maximization problem in discrete-time financial market models. Forthcoming in Annals of Applied Probability, 2005.

M. Rásonyi and L. Stettner, On the Existence of Optimal Portfolios for the Utility Maximization Problem in Discrete Time Financial Market Models, Forthcoming in the Proceedings of the 2nd Bachelier Colloqium, 2005.
DOI : 10.1007/978-3-540-30788-4_29

R. Rouge, E. Karoui, and N. , Pricing Via Utility Maximization and Entropy, Mathematical Finance, vol.10, issue.2, pp.259-276, 2000.
DOI : 10.1111/1467-9965.00093

W. Schachermayer, A Hilbert space proof of the fundamental theorem of asset pricing in finite discrete time, Insurance: Mathematics and Economics, vol.11, issue.4, pp.249-257, 1992.
DOI : 10.1016/0167-6687(92)90013-2

M. Schäl, Portfolio Optimization and Martingale Measures, Mathematical Finance, vol.10, issue.2, pp.289-303, 2000.
DOI : 10.1111/1467-9965.00095

C. Summer, Utility maximization and increasing risk aversion, 2002.