Consumption optimization for recursive utility in a jump-diffusion model
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DOI: 10.1007/s10203-016-0177-1
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References listed on IDEAS
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More about this item
Keywords
BSDEs; Jump-diffusion processes; Recursive utility; Consumption process; Homogeneity; Inverse problem;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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