A dynamic maximum principle for the optimization of recursive utilities under constraints.
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Cited in
(80)- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Stochastic recursive optimal control problem with time delay and applications
- Explicit solutions for continuous time mean-variance portfolio selection with nonlinear wealth equations
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- Expected utility maximization problem under state constraints and model uncertainty
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