A dynamic maximum principle for the optimization of recursive utilities under constraints

Annals of Applied Probability

Volumn 11, Issue 3, 2001, Pages 664-693

  El Karoui, N ^a   Peng, S ^b   Quenez, M C ^c  

^a CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

^b SHANDONG UNIVERSITY   (China)

^c UNIVERSITÉ GUSTAVE EIFFEL   (France)

Author keywords

Backward stochastic differential equations; Forward backward system; Large investor; Maximum principle; Recursive utility; Utility maximization

Indexed keywords

EID: 0035413556     PISSN: 10505164     EISSN: None     Source Type: Journal    
DOI: 10.1214/aoap/1015345345     Document Type: Article

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