we focus on are the calculation of the additional utility of the insider and a study of his free lunch possibilities. The … examples are given to illustrate additional utility and free lunch possibilities. In particular, if the insider has advance …

. -- discrete choice ; random utility ; logit model ; consideration sets ; bounded rationality ; revealed preferences …

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 …

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

This paper aims at formulating econometric tools for investigating stochastic rationality, using the Random Utility …