The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
type: Item
instance of: scholarly article
title: The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
zbMATH Open document ID: 1502.91054
author: Martin Herdegen
author: David Hobson
author: Joseph W. Jerome
published in: Finance and Stochastics
publication date: 2022-12-28T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 60H30
zbMATH DE Number: 7637400
zbMATH Keywords: Epstein-Zin stochastic differential utility
zbMATH Keywords: lifetime investment and consumption
zbMATH Keywords: backward stochastic differential equations
zbMATH Keywords: discounted aggregator
MaRDI profile type: Publication
full work available at URL: s00780-022-00495-6
OpenAlex ID: W4313288202
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DOI: 10.1007/S00780-022-00495-6
description: scientific article; zbMATH DE number 7637400