Maximization of Recursive Utilities: A Dynamic Maximum Principle Approach
نویسندگان
چکیده
In this paper we study a class of robust utility maximization problem over a terminal wealth and consumption in a complete market. Using the backward stochastic differential equation theory (BSDE in short), we derive a comparison theorem to give a dynamic maximum principle for the optimal control of our problem. We prove the existence and uniqueness of an optimal strategy and we characterize it as the unique solution of a forward-backward system.
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عنوان ژورنال:
- SIAM J. Financial Math.
دوره 2 شماره
صفحات -
تاریخ انتشار 2011