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Singular recursive utility - MaRDI portal

Singular recursive utility (Q4584681)

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scientific article; zbMATH DE number 6931426
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English
Singular recursive utility
scientific article; zbMATH DE number 6931426

    Statements

    title
    Singular recursive utility (English)
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    published in
    Stochastics
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    publication date
    4 September 2018
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    zbMATH Keywords
    singular recursive utility
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    singular jump-diffusion processes
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    optimal control problem
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    stochastic maximum principle
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    singular backward stochastic differential equation
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    generalized Skorohod reflection problem
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    optimal consumption
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    author
    K. R. Dahl
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    Bernt Øksendal
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    Identifiers

    zbMATH DE Number
    6931426
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    OpenAlex ID
    W2964281457
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    arXiv ID
    1504.08170
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