Stochastic Differential Utility.
A stochastic differential formulation of recursive utility is given sufficient conditions for existence, uniqueness, time consistency, monotonicity, continuity, risk aversion, concavity, and other properties. In the setting of Brownian information, recursive and intertemporal expected utility functions are observationally distinguishable. However, one cannot distinguish between a number of non-expected-utility theories of one-shot choice under uncertainty after they are suitably integrated into an intertemporal framework. In a "smooth" Markov setting, the stochastic differential utility model produces a generalization of the Hamilton-Bellman-Jacobi characterization of optimality. A companion paper explores the implications for asset prices. Copyright 1992 by The Econometric Society.
Year of publication: |
1992
|
---|---|
Authors: | Duffie, Darrell ; Epstein, Larry G |
Published in: |
Econometrica. - Econometric Society. - Vol. 60.1992, 2, p. 353-94
|
Publisher: |
Econometric Society |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Asset Pricing with Stochastic Differential Utility.
Duffie, Darrell, (1992)
-
Integrability of Incomplete Systems of Demand Functions.
Epstein, Larry G, (1982)
-
Duality Theory and Functional Forms for Dynamic Factor Demands.
Epstein, Larry G, (1981)
- More ...