Recursive utility using the stochastic maximum principle

DOI10.3982/QE473MaRDI QIDQ4586206zbMATH OpenOpenAlexFDO

Authors Knut Kristian Aase

Publication date 12 September 2018

Published in Quantitative Economics (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 3.0 Unported

Full work available at URL https://doi.org/10.3982/qe473

zbMATH Keywords

equity premium puzzlerecursive utilitystochastic maximum principle

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(10)

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• Recursive utility and optimal capital accumulation. I: Existence
• Recursive utility and the rate of impatience
• Stochastic global maximum principle for optimization with recursive utilities
• Stationary Recursive Utility and Dynamic Programming under the Assumption of Biconvergence
• Life insurance and pension contracts. II: The life cycle model with recursive utility
• scientific article; zbMATH DE number 221615 (Why is no real title available?)
• Forward utility and market adjustments in relative investment-consumption games of many players
• Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
• Recursive utility, martingales, and the asymptotic behaviour of optimal processes

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