Karoui, Nicole El; Mrad, Mohamed - HAL - 2010
Motivated by the work of Musiela and Zariphopoulou \cite{zar-03}, we study the Itô random fields which are utility … functions $U(t,x)$ for any $(\omega,t)$. The main tool is the marginal utility $U_x(t,x)$ and its inverse expressed as the … constraints induced on the local characteristics of consistent utility and its conjugate, we focus on the marginal utility SPDE by …