  We propose a new approach to utilities that is consistent with
state-dependent utilities. In our model utilities reflect the level of
consumption satisfaction of flows of cash in future times as they are valued
when the economic agents are making their consumption and investment decisions.
The theoretical framework used for the model is one proposed by the author in
Dynamic State Tameness {arXiv:math.PR/0509139}. The proposed framework is a
generalization of the theory of Brownian flows and can be applied to those
processes that are the solutions of classical It^o stochastic differential
equations, even when the volatilities and drifts are just locally
$\delta$-Holder continuous for some $\delta>0$. We develop the martingale
methodology for the solution of the problem of optimal consumption and
investment. Complete solutions of the optimal consumption and portfolio problem
are obtained in a very general setting which includes several functional forms
for utilities in the current literature, and consider general restrictions on
minimal wealths. As a secondary result we obtain a suitable representation for
straightforward numerical computations of the optimal consumption and
investment strategies.
