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

• 成果类型: Article
• 署名作者: Kraft, Holger; Seifried, Frank Thomas
• 署名单位: Goethe University Frankfurt; University of Kaiserslautern
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.12.007
• 发表日期: 2014
• 页码: 528-550
• 关键词: Stochastic differential utility; recursive utility; CONVERGENCE; Backward stochastic differential equation

摘要

We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus [21], converges to stochastic differential utility, as introduced by Duffle and Epstein [10], in the continuous-time limit of vanishing grid size. (C) 2013 Elsevier Inc. All rights reserved.