TY  - UNPD
A1  - Kraft, Holger
A1  - Seifried, Frank Thomas
T1  - Stochastic differential utility as the continuous-time limit of recursive utility
T2  - SAFE working paper series ; No. 17
N2  - 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 Dufffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
T3  - SAFE working paper - 17 
KW  - stochastic differential utility
KW  - recursive utility
KW  - convergence
KW  - backward stochastic differential equation
Y1  - 2013
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/30570
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-305700
UR  - http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264293
CY  - Frankfurt am Main
ER  -