The following pages link to Stochastic Differential Utility (Q4006270):
Displaying 50 items.
- Stochastic recursive optimal control problem with time delay and applications (Q256324) (← links)
- Optimal control for stochastic delay systems under model uncertainty: a stochastic differential game approach (Q262012) (← links)
- Conditional preference orders and their numerical representations (Q268632) (← links)
- Backward doubly stochastic equations with jumps and comparison theorems (Q298152) (← links)
- Optimal consumption and savings with stochastic income and recursive utility (Q308631) (← links)
- Forward and backward filtering based on backward stochastic differential equations (Q326375) (← links)
- Nonlinear reserving in life insurance: aggregation and mean-field approximation (Q343953) (← links)
- Dynamic programming principle for stochastic recursive optimal control problem driven by a \(G\)-Brownian motion (Q347470) (← links)
- Maximum principle for optimal control problems of forward-backward regime-switching system and applications (Q360666) (← links)
- Scale-invariant asset pricing and consumption/portfolio choice with general attitudes toward risk and uncertainty (Q367371) (← links)
- An optimal insurance design problem under Knightian uncertainty (Q377795) (← links)
- Stochastic differential utility as the continuous-time limit of recursive utility (Q402100) (← links)
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices (Q470605) (← links)
- Incomplete market dynamics and cross-sectional distributions (Q472201) (← links)
- Shock elasticities and impulse responses (Q475311) (← links)
- A class of backward doubly stochastic differential equations with discontinuous coefficients (Q477542) (← links)
- Hidden persistent disasters and asset prices (Q481370) (← links)
- A stochastic recursive optimal control problem under the G-expectation framework (Q486239) (← links)
- BSDEs with polynomial growth generators in a defaultable market (Q488680) (← links)
- Risk minimization in financial markets modeled by Itô-Lévy processes (Q497032) (← links)
- Optimal consumption and investment with Epstein-Zin recursive utility (Q503395) (← links)
- Consumption-investment optimization with Epstein-Zin utility in incomplete markets (Q503396) (← links)
- Nash equilibrium points of recursive nonzero-sum stochastic differential games with unbounded coefficients and related multiple dimensional bsdes (Q524829) (← links)
- Consumption optimization for recursive utility in a jump-diffusion model (Q524899) (← links)
- Dynamic investment strategies to reaction-diffusion systems based upon stochastic differential utilities (Q538320) (← links)
- A maximum principle for partially observed optimal control of forward-backward stochastic control systems (Q543062) (← links)
- Robustness and ambiguity in continuous time (Q548261) (← links)
- Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes (Q558663) (← links)
- On controllability for stochastic control systems when the coefficient is time-variant (Q601888) (← links)
- Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available (Q622236) (← links)
- Representation of the penalty term of dynamic concave utilities (Q650761) (← links)
- 2D backward stochastic Navier-Stokes equations with nonlinear forcing (Q655328) (← links)
- Optimal premium policy of an insurance firm: full and partial information (Q661239) (← links)
- Extending dynamic convex risk measures from discrete time to continuous time: a convergence approach (Q661265) (← links)
- Robust consumption and portfolio choice for time varying investment opportunities (Q666461) (← links)
- On aggregation and representative agent equilibria (Q684175) (← links)
- Reflected backward stochastic differential equations in an orthant (Q698364) (← links)
- Filtration consistent nonlinear expectations and evaluations of contingent claims (Q705074) (← links)
- \(\mathbb L^p\) solutions of reflected BSDEs under monotonicity condition (Q713208) (← links)
- Backward stochastic dynamics on a filtered probability space (Q717884) (← links)
- The dynamics of risk-sensitive allocations (Q813942) (← links)
- Term structure of interest rates under recursive preferences in continuous time (Q842835) (← links)
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions (Q847865) (← links)
- Numerical approach to asset pricing models with stochastic differential utility (Q853855) (← links)
- Dynamic choice with constant source-dependent relative risk aversion (Q889253) (← links)
- \(H_2/H_\infty\) control problems of backward stochastic systems (Q890637) (← links)
- Maximum principle for forward-backward stochastic control system under \(G\)-expectation and relation to dynamic programming (Q898994) (← links)
- Well-posedness and regularity of backward stochastic Volterra integral equations (Q948934) (← links)
- A two-person dynamic equilibrium under ambiguity (Q951358) (← links)
- Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice (Q953662) (← links)
