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• W1996900707 abstract "This paper examines the continuous-time portfolio-consumption problem of an agent with a recursive utility in the presence of nonlinear constraints on the wealth.Using backward stochastic differential equations, we state a dynamic maximum principle which generalizes the characterization of optimal policies obtained by Duffie and Skiadas [J.Math Econ. 23, 107 –131 (1994)] in the case of a linear wealth. From this property, we derive a characterization of optimal wealth and utility processes as the unique solution of a forward-backward system. Existence of an optimal policy is also established via a penalization method." @default.
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• W1996900707 date "2001-08-01" @default.
• W1996900707 modified "2023-10-10" @default.
• W1996900707 title "A dynamic maximum principle for the optimization of recursive utilities under constraints" @default.
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• W1996900707 doi "https://doi.org/10.1214/aoap/1015345345" @default.
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