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

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
Institutions:	Research Center SAFE (Sustainable Architecture for Finance in Europe), House of Finance
Subject:	Stochastic differential utility \| recursive utility \| convergence \| backward stochastic differential equation

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Extent:	application/pdf
Series:	SAFE Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 17
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010955136