A Generalized Stochastic Differential Utility
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Cited in
(40)- Efficient consumption set under recursive utility and unknown beliefs.
- Generalized stochastic differential utility and preference for information
- On securitization, market completion and equilibrium risk transfer
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
- Optimal consumption and portfolio selection with stochastic differential utility
- Brownian equilibria under Knightian uncertainty
- Comparison theorems for some backward stochastic Volterra integral equations
- Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- A generalized stochastic differential utility driven by G-Brownian motion
- Dynamic programming principle and viscosity solutions of Hamilton-Jacobi-Bellman equations for stochastic recursive control problem with non-Lipschitz generator
- Path-dependent backward stochastic Volterra integral equations with jumps, differentiability and duality principle
- Convex pricing by a generalized entropy penalty
- Lifetime consumption-portfolio choice under trading constraints, recursive preferences, and nontradeable income
- Backward stochastic Volterra integral equations and some related problems
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Gain/loss asymmetric stochastic differential utility
- Linked recursive preferences and optimality
- Spatially-explicit Bayesian information entropy metrics for calibrating landscape transformation models
- BSDEs with time-delayed generators of a moving average type with applications to non-monotone preferences
- Regularity of backward stochastic Volterra integral equations in Hilbert spaces
- Conditional certainty equivalent
- Continuous-time dynamic risk measures by backward stochastic Volterra integral equations
- A Stochastic Linear Quadratic Optimal Control Problem with Generalized Expectation
- State-Dependent Utility
- Stochastic Differential Utility
- Time-inconsistent recursive stochastic optimal control problems
- Time-inconsistent stochastic optimal control problems and backward stochastic Volterra integral equations
- Equilibrium strategies for time-inconsistent stochastic switching systems
- Forward-backward stochastic differential equations with mixed initial-terminal conditions
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Robust portfolio choice and indifference valuation
- TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
- OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION
- A modified method of successive approximations for stochastic recursive optimal control problems
- Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
- Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets
- Star-shaped and dynamic return risk measures via BSDEs
- Stochastic optimal linear quadratic controls with a recursive cost functional
- Numerical approach to asset pricing models with stochastic differential utility
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