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.

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Metadaten
Author:Holger KraftGND, Frank Thomas SeifriedGND
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:Universit├Ątsbibliothek 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:Universit├Ątspublikationen
Licence (German):License LogoDeutsches Urheberrecht