An existence theorem of intertemporal recursive utility in the presence of Lévy jumps

DOI10.1016/S0304-4068(00)00053-7zbMath1006.91032OpenAlexW2019038501MaRDI QIDQ1592523

Chenghu Ma

Publication date: 17 March 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4068(00)00053-7

zbMATH Keywords

utilityLévy jumpsKoopmans equationintertemporal recursive

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16)

Related Items (4)

Robust consumption and portfolio choice with derivatives trading ⋮ Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps

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