Arbeitspapier
Stochastic differential utility as the continuous-time limit of recursive utility
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-time limit of vanishing grid size.
- Language
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Englisch
- Bibliographic citation
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Series: SAFE Working Paper ; No. 17
- Classification
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Wirtschaft
Criteria for Decision-Making under Risk and Uncertainty
Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making‡
- Subject
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Stochastic differential utility
recursive utility
convergence
backward stochastic differential equation
- Event
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Geistige Schöpfung
- (who)
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Kraft, Holger
Seifried, Frank Thomas
- Event
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Veröffentlichung
- (who)
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Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (where)
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Frankfurt a. M.
- (when)
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2013
- DOI
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doi:10.2139/ssrn.2264293
- Handle
- URN
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urn:nbn:de:hebis:30:3-305700
- Last update
-
03.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Kraft, Holger
- Seifried, Frank Thomas
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Time of origin
- 2013
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