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Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger; Seifried, Frank Thomas - 2013
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 …
Persistent link: https://www.econbiz.de/10010225872
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A generalized stochastic differential utility driven by G-Brownian motion
Lin, Qian; Tian, Dejian; Tian, Weidong - In: Mathematics and financial economics 14 (2020) 3, pp. 547-576
Persistent link: https://www.econbiz.de/10012240314
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Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki - In: Journal of economic dynamics & control 118 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012503409
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Optimal consumption for recursive preferences with local substitution under risk
Li, Hanwu; Riedel, Frank - 2024
We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal consumption problem, proving the existence and...
Persistent link: https://www.econbiz.de/10015066357
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Existence of arrow-debreu equilibrium with generalized stochastic differential utility
Beißner, Patrick - 2011
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 …
Persistent link: https://www.econbiz.de/10008937554
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Backward nonlinear expectation equations
Belak, Christoph; Seiferling, Thomas; Seifried, Frank Thomas - In: Mathematics and financial economics 12 (2018) 1, pp. 111-134
Persistent link: https://www.econbiz.de/10011963319
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Bilateral counterparty risk under funding constraints - part II : CVA
Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 23-50
Persistent link: https://www.econbiz.de/10011347256
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Bilateral counterparty risk under funding constraints - part I : pricing
Crépey, Stéphane - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10011347260
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Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Shen, Yang; Zeng, Yan - In: Insurance / Mathematics & economics 62 (2015), pp. 118-137
Persistent link: https://www.econbiz.de/10011312080
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Risk measures and nonlinear expectations
Chen, Zengjing; He, Kun; Kulperger, Reg - In: Journal of mathematical finance 3 (2013) 3, pp. 383-391
Persistent link: https://www.econbiz.de/10010239533