Pages that link to "Item:Q1872429"

The following pages link to A dynamic maximum principle for the optimization of recursive utilities under constraints. (Q1872429):

Displaying 50 items.

• Stochastic recursive optimal control problem with time delay and applications (Q256324) (← links)
• Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
• Stochastic maximum principle for controlled backward delayed system via advanced stochastic differential equation (Q262025) (← links)
• Stochastic maximum principle for mean-field forward-backward stochastic control system with terminal state constraints (Q294516) (← links)
• Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty (Q367371) (← links)
• An optimal insurance design problem under Knightian uncertainty (Q377795) (← links)
• Necessary conditions for optimal control of forward-backward stochastic systems with random jumps (Q413924) (← links)
• On near-optimal necessary and sufficient conditions for forward-backward stochastic systems with jumps, with applications to finance. (Q464722) (← links)
• Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
• Maximum principle for a stochastic delayed system involving terminal state constraints (Q527801) (← links)
• Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320) (← links)
• Existence of optimal controls for systems driven by FBSDEs (Q539918) (← links)
• Maximum principle for forward-backward stochastic control system with random jumps and applications to finance (Q601881) (← links)
• Optimal premium policy of an insurance firm: full and partial information (Q661239) (← links)
• A generalized Neyman-Pearson Lemma for \(g\)-probabilities (Q707608) (← links)
• Linear forward-backward stochastic differential equations with random coefficients (Q818818) (← links)
• Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
• Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994) (← links)
• Terminal perturbation method for the backward approach to continuous time mean-variance portfolio selection (Q927920) (← links)
• Efficient consumption set under recursive utility and unknown beliefs. (Q1428170) (← links)
• A stochastic maximum principle for a Markov regime-switching jump-diffusion model with delay and an application to finance (Q1626520) (← links)
• Reaching goals under ambiguity: continuous-time optimal portfolio selection (Q1640926) (← links)
• Near-optimal control of stochastic recursive systems via viscosity solution (Q1670094) (← links)
• Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information (Q1686663) (← links)
• On optimal control of forward-backward stochastic differential equations (Q1693961) (← links)
• Optimal stopping with a probabilistic constraint (Q1695821) (← links)
• The optimal control problem with state constraints for fully coupled forward-backward stochastic systems with jumps (Q1722363) (← links)
• The optimal portfolio selection model under \(g\)-expectation (Q1724103) (← links)
• An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints (Q1724115) (← links)
• Recursive utility maximization for terminal wealth under partial information (Q1792900) (← links)
• A maximum principle for controlled time-symmetric forward-backward doubly stochastic differential equation with initial-terminal state constraints (Q1938232) (← links)
• Recursive utility optimization with concave coefficients (Q2001553) (← links)
• Robust consumption portfolio optimization with stochastic differential utility (Q2065170) (← links)
• Characterization of fully coupled FBSDE in terms of portfolio optimization (Q2184583) (← links)
• Social optima of backward linear-quadratic-Gaussian mean-field teams (Q2238971) (← links)
• A maximum principle for fully coupled forward-backward stochastic control systems with terminal state constraints (Q2257654) (← links)
• Dual method for continuous-time Markowitz's problems with nonlinear wealth equations (Q2268069) (← links)
• Expected utility maximization problem under state constraints and model uncertainty (Q2278901) (← links)
• Stochastic global maximum principle for optimization with recursive utilities (Q2296089) (← links)
• A stochastic approach to path-dependent nonlinear Kolmogorov equations via BSDEs with time-delayed generators and applications to finance (Q2301492) (← links)
• Robust utility maximization under convex portfolio constraints (Q2348619) (← links)
• Optimal risk transfer and investment policies based upon stochastic differential utilities (Q2372259) (← links)
• On the integral representation of \(g\)-expectations with terminal constraints (Q2400639) (← links)
• Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations (Q2407233) (← links)
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach (Q2463705) (← links)
• The Neyman-Pearson lemma under \(g\)-probability (Q2472990) (← links)
• Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income (Q2485813) (← links)
• Backward stochastic Volterra integral equations and some related problems (Q2495382) (← links)
• Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences. (Q2574608) (← links)
• Gain/loss asymmetric stochastic differential utility (Q2661667) (← links)