英文标题：
《Singular recursive utility》
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作者：
Kristina R. Dahl, Bernt {\\O}ksendal
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最新提交年份：
2017
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英文摘要：
We introduce the concept of singular recursive utility. This leads to a kind of singular 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.
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中文摘要：
我们引入了奇异递归效用的概念。这就产生了一种奇异的BSDE，据我们所知，它以前从未被研究过。我们证明了这类奇异BSDE解的存在唯一性条件。此外，我们还分析了奇异递归效用最大化问题。我们推导了该问题的充分必要的极大值原理，并将其与Skorohod反射问题联系起来。最后，我们将结果应用于特定的现金流。在这种情况下，我们发现最优消耗率由相应的Skorohod反射问题的解给出。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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