Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

dc.creator	Kraft, Holger
dc.creator	Seifried, Frank Thomas
dc.date.accessioned	2021-09-28T09:16:47Z
dc.date.available	2021-09-28T09:16:47Z
dc.date.issued	2013-05-10
dc.identifier.uri	https://fif.hebis.de/xmlui/handle/123456789/2118
dc.description.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.
dc.rights	Attribution-ShareAlike 4.0 International
dc.rights.uri	http://creativecommons.org/licenses/by-sa/4.0/
dc.subject	Financial Markets
dc.title	Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
dc.type	Working Paper
dc.source.filename	17_SSRN-id2264293
dc.identifier.safeno	17
dc.subject.keywords	stochastic differential utility
dc.subject.keywords	recursive utility
dc.subject.keywords	convergence
dc.subject.keywords	backward stochastic differential equation
dc.subject.jel	D81
dc.subject.jel	D91
dc.subject.topic1	stanley
dc.subject.topic1	normalized
dc.subject.topic1	function
dc.subject.topic2	nonexpected
dc.subject.topic2	fisher
dc.subject.topic2	obstfeld
dc.subject.topic3	summary
dc.subject.topic3	stochastic
dc.subject.topic3	converges
dc.subject.topic1name	Monetary Policy
dc.subject.topic2name	Macro Finance
dc.subject.topic3name	Consumption
dc.identifier.doi	10.2139/ssrn.2264293

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