PDE solutions of stochastic differential utility (Q1802947)
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| English | PDE solutions of stochastic differential utility |
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PDE solutions of stochastic differential utility (English)
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29 June 1993
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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.
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recursive utility
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Hamilton-Jacobi-Bellman equations
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backward stochastic differential equation
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recursive model of preferences
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finance
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