A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429): Difference between revisions

There is considered the optimization problem when the utility is recursive with constrains on the wealth, which include the case of a large investor or the case of taxes. In other terms, the utility and the wealth processes are supposed to satisfy nonlinear equations. In this work it is shown a backward formulation of this problem which emphasizes the symmetry between utility and wealth. The obtained results can be obtained in the financial engineering domain.