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This paper concerns the recursive utility maximization problem under partialinformation. We first transform our problem under partial information into theone under full information. When the generator of the recursive utility isconcave, we adopt the variational formulation of the recursive utility whichleads to a stochastic game problem and a characterization of the saddle pointof the game is obtained. Then, we study the K-ignorance case and explicitsaddle points of several examples are obtained. At last, when the generator ofthe recursive utility is smooth, we employ the terminal perturbation method tocharacterize the optimal terminal wealth.

Recursive utility maximization under partial information