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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SAFE Working Paper ; No. 17
- Klassifikation
-
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‡
- Thema
-
Stochastic differential utility
recursive utility
convergence
backward stochastic differential equation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kraft, Holger
Seifried, Frank Thomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- DOI
-
doi:10.2139/ssrn.2264293
- Handle
- URN
-
urn:nbn:de:hebis:30:3-305700
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kraft, Holger
- Seifried, Frank Thomas
- Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe
Entstanden
- 2013
Ähnliche Objekte (12)
Stochastic differential utility as the continuous-time limit of recursive utility
Recursive Utility and Stochastic Differential Utility: From Discrete to Continuous Time
Foundations of continuous-time recursive utility : differentiability and normalization of certainty equivalents
Recursive utility using the stochastic maximum principle
Foundations of continuous-time recrusive utility: Differentiability and normalization of certainty equivalents
Recursive intergenerational utility in global climate risk modeling
The first-best sharing rule in the continuous-time principal-agent problem with exponential utility
Optimal consumption and investment with Epstein-Zin recursive utility
Robust utility maximization with nonlinear continuous semimartingales
UZPR: A century of continuous public utility
Intertemporal Hedging and Trade in Repeated Games with Recursive Utility
Portability, salary and asset price risk: A continuous-time expected utility comparison of DB and DC pension plans
Stochastic differential utility as the continuous-time limit of recursive utility
Recursive Utility and Stochastic Differential Utility: From Discrete to Continuous Time
Foundations of continuous-time recursive utility : differentiability and normalization of certainty equivalents
Recursive utility using the stochastic maximum principle
Foundations of continuous-time recrusive utility: Differentiability and normalization of certainty equivalents
Recursive intergenerational utility in global climate risk modeling
The first-best sharing rule in the continuous-time principal-agent problem with exponential utility
Optimal consumption and investment with Epstein-Zin recursive utility
Robust utility maximization with nonlinear continuous semimartingales
UZPR: A century of continuous public utility
Intertemporal Hedging and Trade in Repeated Games with Recursive Utility
Portability, salary and asset price risk: A continuous-time expected utility comparison of DB and DC pension plans
Stochastic differential utility as the continuous-time limit of recursive utility
Recursive Utility and Stochastic Differential Utility: From Discrete to Continuous Time
Foundations of continuous-time recursive utility : differentiability and normalization of certainty equivalents
Recursive utility using the stochastic maximum principle
Foundations of continuous-time recrusive utility: Differentiability and normalization of certainty equivalents
Recursive intergenerational utility in global climate risk modeling
The first-best sharing rule in the continuous-time principal-agent problem with exponential utility
Optimal consumption and investment with Epstein-Zin recursive utility
Robust utility maximization with nonlinear continuous semimartingales
UZPR: A century of continuous public utility
Intertemporal Hedging and Trade in Repeated Games with Recursive Utility