Stochastic differential utility as the continuous-time limit of recursive utility
Year of publication: |
2013
|
---|---|
Authors: | Kraft, Holger ; Seifried, Frank Thomas |
Institutions: | Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance |
Subject: | Stochastic differential utility | recursive utility | convergence | backward stochastic differential equation |
-
Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger, (2013)
-
Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger, (2013)
-
Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger, (2014)
- More ...
-
Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger, (2014)
-
Consumption and wage humps in a life-cycle model with education
Kraft, Holger, (2014)
-
Kraft, Holger, (2013)
- More ...