NDLI: Singular recursive utility

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Singular recursive utility

Content Provider	Scilit
Author	Dahl, K. R. Øksendal, B.
Copyright Year	2017
Description	We introduce the concept of singular recursive utility. This leads to a kind of singular backward stochastic differential equation (BSDE) which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of singular BSDE. Furthermore, we analyze the problem of maximizing the singular recursive utility. We derive sufficient and necessary maximum principles for this problem, and connect it to the Skorohod reflection problem. Finally, we apply our results to a specific cash flow. In this case, we find that the optimal consumption rate is given by the solution to the corresponding Skorohod reflection problem.
Related Links	http://arxiv.org/pdf/1504.08170
ISSN	17442508
e-ISSN	17442516
DOI	10.1080/17442508.2017.1303067
Journal	Stochastics
Issue Number	6-7
Volume Number	89
Language	English
Publisher	Informa UK Limited
Publisher Date	2017-03-24
Access Restriction	Open
Subject Keyword	Journal: Stochastics Applied Mathematics Singular Recursive Utility Singular Jump-diffusion Processes Optimal Control Problem Stochastic Maximum Principle Singular Backward Stochastic Differential Equation Generalized Skorohod Reflection Problem Optimal Consumption
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Modeling and Simulation

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