Abstract
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.
Keywords
stochastic differential utility, recursive utility, convergence, backward stochastic differential equation
Topic
Monetary Policy Macro Finance Consumption
Relations
Research Data
JEL Classification
Research Area
Topic
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