Stochastic differential utility as the continuous-time limit of recursive utility
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Publication:402100
DOI10.1016/j.jet.2013.12.007zbMath1296.91110OpenAlexW3124682203MaRDI QIDQ402100
Holger Kraft, Frank Thomas Seifried
Publication date: 27 August 2014
Published in: Journal of Economic Theory (Search for Journal in Brave)
Full work available at URL: http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:hebis:30:3-305700
convergencebackward stochastic differential equationrecursive utilitystochastic differential utility
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