Singular recursive utility

DOI10.1080/17442508.2017.1303067zbMath1394.60060arXiv1504.08170OpenAlexW2964281457MaRDI QIDQ4584681

K. R. Dahl, Bernt Øksendal

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.08170

zbMATH Keywords

stochastic maximum principleoptimal control problemoptimal consumptiongeneralized Skorohod reflection problemsingular backward stochastic differential equationsingular jump-diffusion processessingular recursive utility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16)

Related Items (5)

The stochastic maximum principle in singular optimal control with recursive utilities ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Forward-backward stochastic differential equation games with delay and noisy memory ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ On the singular risk-sensitive stochastic maximum principle

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