Recursive utility optimization problem described by forward–backward stochastic differential inclusions

DOI10.1080/02331934.2024.2412727MaRDI QIDQ6861650zbMATH OpenFDO

Authors Michał Kisielewicz

Publication date 10 February 2026

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2024.2412727

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Set-valued operators (47H04) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

Cites work

• Adapted solution of a backward stochastic differential equation
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• Integrals, conditional expectations, and martingales of multivalued functions
• On Weak Solutions of Backward Stochastic Differential Equations
• Set-valued stochastic integrals and applications
• Stochastic differential inclusions and applications.
• Stochastic Differential Utility
• Tightness criteria for laws of semimartingales
• Weak compactness of weak solutions sets of forward-backward stochastic differential inclusions

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