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 …

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 …