Generalized stochastic differential utility and preference for information

DOI10.1214/105051604000000756zbMath1068.60082arXivmath/0503579OpenAlexW3102812212MaRDI QIDQ1769427

Ali Lazrak

Publication date: 21 March 2005

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0503579

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (10)

On securitization, market completion and equilibrium risk transfer ⋮ Stochastic differential utility as the continuous-time limit of recursive utility ⋮ Co-jumps and recursive preferences in portfolio choices ⋮ A generalized stochastic differential utility driven by \(G\)-Brownian motion ⋮ Equilibrium strategies for time-inconsistent stochastic switching systems ⋮ Time-Inconsistent Recursive Stochastic Optimal Control Problems ⋮ Brownian equilibria under Knightian uncertainty ⋮ Forward-backward stochastic differential equations with mixed initial-terminal conditions ⋮ Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations ⋮ Time-inconsistent stochastic optimal control problems and backward stochastic volterra integral equations

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