a backward stochastic differential equation and incorporates preference for the local risk of the stochastic utility … stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by …

This paper studies the relation between concavity, stochastic or state dependent utility functions, and risk aversion …. Using the common definition of risk aversion, but modified for state dependent preferences, we show that concavity does not … imply risk aversion. Instead, it implies a weaker version of risk aversion, defined herein, and called risk aversion for …