Recursive utility maximization for terminal wealth under partial information

DOI10.1155/2016/2813707MaRDI QIDQ1792900zbMATH OpenOpenAlexWikidataFDO

Authors Shaolin Ji, Xiao-Min Shi

Publication date 12 October 2018

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1605.05802

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Abstract: This paper concerns the recursive utility maximization problem under partial information. We first transform our problem under partial information into the one under full information. When the generator of the recursive utility is concave, we adopt the variational formulation of the recursive utility which leads to a stochastic game problem and a characterization of the saddle point of the game is obtained. Then, we study the K-ignorance case and explicit saddle points of several examples are obtained. At last, when the generator of the recursive utility is smooth, we employ the terminal perturbation method to characterize the optimal terminal wealth.

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Cited in

(6)

• Utility maximization with partial information: Hamilton-Jacobi-Bellman equation approach
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• Recursive utility and optimal capital accumulation. I: Existence
• Recursive utility optimization with concave coefficients
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• Wealth-path dependent utility maximization in incomplete markets

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