Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach

DOI10.1137/100814354zbMath1239.91189OpenAlexW2068657879MaRDI QIDQ5388694

Wahid Faidi, Anis Matoussi, Mohammed Mnif

Publication date: 19 April 2012

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/100814354

zbMATH Keywords

maximum principlerobust controlbackward stochastic differential equationsmodel uncertaintyrecursive utilityforward-backward systemUtility maximization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Maximum principles in context of PDEs (35B50) Diffusion processes (60J60) Financial applications of other theories (91G80)

Related Items (8)

Pricing Principle via Tsallis Relative Entropy in Incomplete Markets ⋮ A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications ⋮ Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Recursive utility optimization with concave coefficients ⋮ Expected utility maximization problem under state constraints and model uncertainty ⋮ Robust utility maximization under convex portfolio constraints ⋮ Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach

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