A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429): Difference between revisions
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Revision as of 18:22, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
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| English | A dynamic maximum principle for the optimization of recursive utilities under constraints. |
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A dynamic maximum principle for the optimization of recursive utilities under constraints. (English)
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6 May 2003
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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.
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utility maximization
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backward stochastic differential equations
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maximum principle
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