Efficient consumption set under recursive utility and unknown beliefs.

DOI10.1016/S0304-4068(03)00088-0zbMath1180.91322MaRDI QIDQ1428170

Fernando Zapatero, Ali Lazrak

Publication date: 14 March 2004

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

zbMATH Keywords

beliefsrecursive utilityquadratic backward stochastic differential equationsmartingale condition

Mathematics Subject Classification ID

Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Related Items (2)

Numerical approach to asset pricing models with stochastic differential utility ⋮ Consumption optimization for recursive utility in a jump-diffusion model

Cites Work

• Unnamed Item
• Adapted solution of a backward stochastic differential equation
• Continuous-time security pricing. A utility gradient approach
• Testable implications of general equilibrium theory: A differentiable approach.
• A dynamic maximum principle for the optimization of recursive utilities under constraints.
• Backward stochastic differential equations and partial differential equations with quadratic growth.
• Optimal consumption and portfolio selection with stochastic differential utility
• A martingale characterization of equilibrium asset price processes
• Stochastic Differential Utility
• The Recoverability of Consumers' Preferences from Market Demand Behavior
• Backward Stochastic Differential Equations in Finance
• Ambiguity, Risk, and Asset Returns in Continuous Time
• A Generalized Stochastic Differential Utility

This page was built for publication: Efficient consumption set under recursive utility and unknown beliefs.