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 Dufffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
Author: | Holger KraftGND, Frank Thomas SeifriedGND |
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URN: | urn:nbn:de:hebis:30:3-305700 |
URL: | http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2264293 |
DOI: | https://doi.org/10.2139/ssrn.2264293 |
Parent Title (German): | SAFE working paper series ; No. 17 |
Series (Serial Number): | SAFE working paper (17) |
Place of publication: | Frankfurt am Main |
Document Type: | Working Paper |
Language: | English |
Year of Completion: | 2013 |
Year of first Publication: | 2013 |
Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
Release Date: | 2013/06/27 |
Tag: | backward stochastic differential equation; convergence; recursive utility; stochastic differential utility |
Page Number: | 23 |
HeBIS-PPN: | 348828799 |
Institutes: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF) | |
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
Sammlungen: | Universitätspublikationen |
Licence (German): | Deutsches Urheberrecht |