On the viscosity solutions of a stochastic differential utility problem

We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for degenerate nonlinear partial differential equation. We also characterize the solution in the vanishing viscosity sense.

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Year of publication:	2005-03-18
Authors:	Antonelli, Fabio ; Pascucci, Andrea
Institutions:	EconWPA
Subject:	Viscosity solution \| Burgers' equation \| Stochastic differential utility

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Extent:	application/pdf
Series:	Finance.
Type of publication:	Book / Working Paper
Notes:	Type of Document - pdf; pages: 19 19 pages
Classification:	G - Financial Economics
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005561697