Stochastic differential utility as the continuous-time limit of recursive utility
Year of publication: |
2014
|
---|---|
Authors: | Kraft, Holger ; Seifried, Frank Thomas |
Published in: |
Journal of economic theory. - Amsterdam : Elsevier, ISSN 0022-0531, ZDB-ID 410539-4. - Vol. 151.2014, p. 528-550
|
Subject: | Stochastic differential utility | Recursive utility | Convergence | Backward stochastic differential equation | Theorie | Theory | Stochastischer Prozess | Stochastic process | Nutzen | Utility | Analysis | Mathematical analysis |
-
Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger, (2013)
-
A generalized stochastic differential utility driven by G-Brownian motion
Lin, Qian, (2020)
-
Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki, (2020)
- More ...
-
Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger, (2013)
-
Kraft, Holger, (2013)
-
Consumption and wage humps in a life-cycle model with education
Kraft, Holger, (2014)
- More ...