Singular recursive utility

DOI10.1080/17442508.2017.1303067zbMATH Open1394.60060arXiv1504.08170OpenAlexW2964281457MaRDI QIDQ4584681FDOQ4584681

Authors: K. Dahl, B. Øksendal 

Publication date: 4 September 2018

Published in: Stochastics (Search for Journal in Brave)

Abstract: We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of singular BSDE. Furthermore, we analyze the problem of maximizing the singular recursive utility. We derive sufficient and necessary maximum principles for this problem, and connect it to the Skorohod reflection problem. Finally, we apply our results to a specific cash flow. In this case, we find that the optimal consumption rate is given by the solution to the corresponding Skorohod reflection problem.

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

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zbMATH Keywords

optimal consumptionstochastic maximum principleoptimal control problemgeneralized Skorohod reflection problemsingular backward stochastic differential equationsingular jump-diffusion processessingular recursive utility

Mathematics Subject Classification ID

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

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Cited In (8)

• Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
• Singular control of stochastic linear systems with recursive utility
• The stochastic maximum principle in singular optimal control with recursive utilities
• Forward-backward stochastic differential equation games with delay and noisy memory
• Abstract recursive utility
• On the singular risk-sensitive stochastic maximum principle
• Singular optimal controls for stochastic recursive systems under convex control constraint
• Title not available (Why is that?)

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