Stochastic differential utility as the continuous-time limit of recursive utility
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DOI: 10.2139/ssrn.2264293
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More about this item
Keywords
Stochastic differential utility; recursive utility; convergence; backward stochastic differential equation;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2014-01-17 (Operations Research)
- NEP-UPT-2014-01-17 (Utility Models and Prospect Theory)
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