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 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. 
Huy N. Chau and Mikl\'os R\'asonyi
q-fin.PM math.OC