Title: Continuity of Utility Maximization under Weak Convergence,
Abstract: In this paper we find sufficient conditions for the continuity of the value
of the utility maximization problem from terminal wealth with respect to the
convergence in distribution of the underlying processes. We provide several
examples which illustrate that without these conditions, we cannot generally
expect continuity to hold. Finally, we apply our results to the computation of
the minimum shortfall in the Heston model by building an appropriate lattice
approximation.