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.

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 \| Nutzen \| Utility \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Analysis \| Mathematical analysis \| Nutzenfunktion \| Utility function \| Risiko \| Risk

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