Stochastic differential utility as the continuous-time limit of recursive utility

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.

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Year of publication:	2013
Authors:	Kraft, Holger ; Seifried, Frank Thomas
Publisher:	Frankfurt a. M. : Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Subject:	Stochastic differential utility \| recursive utility \| convergence \| backward stochastic differential equation

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Series:	SAFE Working Paper ; 17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.2139/ssrn.2264293 [DOI] 775703109 [GVK] hdl:10419/88743 [Handle] RePEc:zbw:safewp:17 [RePEc]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving
Source:	EconStor

Persistent link: https://www.econbiz.de/10010327831