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.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Author:Holger KraftGND, Frank Thomas SeifriedGND
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
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
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
Licence (German):License LogoDeutsches Urheberrecht