Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
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Datum
2013-05-10
Autor
Kraft, Holger
Seifried, Frank Thomas
SAFE No.
17
Metadata
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Zusammenfassung
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.
Forschungsbereich
Financial Markets
Schlagworte
stochastic differential utility, recursive utility, convergence, backward stochastic differential equation
JEL-Klassifizierung
D81, D91
Thema
Monetary Policy
Macro Finance
Consumption
Macro Finance
Consumption
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]