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A dynamic maximum principle for the optimization of recursive utilities under constraints. (English) Zbl 1040.91038

There is considered the optimization problem when the utility is recursive with constrains on the wealth, which include the case of a large investor or the case of taxes. In other terms, the utility and the wealth processes are supposed to satisfy nonlinear equations. In this work it is shown a backward formulation of this problem which emphasizes the symmetry between utility and wealth. The obtained results can be obtained in the financial engineering domain.

MSC:

91B16 Utility theory
93E20 Optimal stochastic control
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