Super-replication and utility maximization in large financial markets

We study the problems of super-replication and utility maximization from terminal wealth in a semimartingale model with countably many assets. After introducing a suitable definition of admissible strategy, we characterize superreplicable contingent claims in terms of martingale measures. Utility maximization problems are then studied with the convex duality method, and we extend finite-dimensional results to this setting. The existence of an optimizer is proved in a suitable class of generalized strategies: this class has also the property that maximal expected utility is the limit of maximal expected utilities in finite-dimensional sub-markets. Finally, we illustrate our results with some examples in infinite dimensional factor models.