Stochastic differential utility as the continuous-time limit of recursive utility

Holger Kraft; Frank Thomas Seifried

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 Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.

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Year of publication:	[2013]
Authors:	Kraft, Holger ; Seifried, Frank Thomas
Publisher:	Frankfurt am Main : SAFE
Subject:	Stochastic differential utility \| recursive utility \| convergence \| backward stochastic differential equation \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Nutzen \| Utility \| Analysis \| Mathematical analysis

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Extent:	Online-Ressource (20 S.)
Series:	SAFE working paper. - Frankfurt am Main : SAFE, ZDB-ID 2745463-0. - Vol. 17 SAFE Working Paper ; No. 17
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	10.2139/ssrn.2264293 [DOI] hdl:10419/88743 [Handle]
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010225872