An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
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Publication:1592523
DOI10.1016/S0304-4068(00)00053-7zbMath1006.91032OpenAlexW2019038501MaRDI QIDQ1592523
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
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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