A dynamic maximum principle for the optimization of recursive utilities under constraints.

DOI10.1214/aoap/1015345345zbMath1040.91038OpenAlexW1996900707MaRDI QIDQ1872429

Shige Peng, Nicole El Karoui, Marie-Claire Quenez

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1015345345

zbMATH Keywords

maximum principlebackward stochastic differential equationsutility maximization

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20)

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