Browsing LIF-SAFE Working Papers by Keyword "fbsde"
Now showing items 1-1 of 1
-
Optimal Consumption and Investment with Epstein-Zin Recursive Utility
(2016-07-04)We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...