PDE solutions of stochastic differential utility (Q1802947)

This paper presents conditions under which the solution of a backward stochastic differential equation in a Markovian setting can be represented as the unique solution of a particular quasi-linear parabolic (finite time case) or elliptic (infinite time case) partial differential equation. The main application is to the existence and properties of stochastic differential utility, a recursive model of preferences useful in economic theory and finance.