Singular recursive utility (Q4584681): Difference between revisions

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+K. R. Dahl
@@ Property / author: K. R. Dahl / rank @@
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@@ Property / author @@
+Bernt Øksendal
@@ Property / author: Bernt Øksendal / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2964281457
@@ Property / OpenAlex ID: W2964281457 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.08170
@@ Property / arXiv ID: 1504.08170 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward nonlinear expectation equations
@@ Property / cites work: Backward nonlinear expectation equations / rank @@
+Normal rank
@@ Property / cites work @@
+Existence, uniqueness and comparisons for BSDEs in general spaces
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@@ Property / cites work @@
+Backward stochastic differential equations with rough drivers
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+A new proof for comparison theorems for stochastic differential inequalities with respect to semimartingales
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@@ Property / cites work @@
+Stochastic Differential Utility
@@ Property / cites work: Stochastic Differential Utility / rank @@
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@@ Property / cites work @@
+Functional Integration and Partial Differential Equations. (AM-109)
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+On intertemporal preferences in continuous time. The case of certainty
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+Stochastic differential utility as the continuous-time limit of recursive utility
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+Optimal consumption and investment with Epstein-Zin recursive utility
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+Unique solutions for stochastic recursive utilities
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+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
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+Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes
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+Forward-backward stochastic differential games and stochastic control under model uncertainty
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+Risk minimization in financial markets modeled by Itô-Lévy processes
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+A concise course on stochastic partial differential equations
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+Stochastic differential equations. An introduction with applications.
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+Singular control of stochastic linear systems with recursive utility
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