PDE solutions of stochastic differential utility

DOI10.1016/0304-4068(92)90028-6zbMath0768.90006OpenAlexW2093645352MaRDI QIDQ1802947

Pierre-Louis Lions, J. Darrell Duffie

Publication date: 29 June 1993

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(92)90028-6

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsbackward stochastic differential equationfinancerecursive utilityrecursive model of preferences

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (34)

A dynamic maximum principle for the optimization of recursive utilities under constraints. ⋮ A term structure model with preferences for the timing of resolution of uncertainty ⋮ Asset and commodity prices with multi-attribute durable goods ⋮ Recursive valuation of defaultable securities and the timing of resolution of uncertainty ⋮ Reflected solutions of backward SDE's, and related obstacle problems for PDE's ⋮ Continuous-time smooth ambiguity preferences ⋮ LIFE INSURANCE AND PENSION CONTRACTS II: THE LIFE CYCLE MODEL WITH RECURSIVE UTILITY ⋮ Stability of backward stochastic differential equations ⋮ On controllability for stochastic control systems when the coefficient is time-variant ⋮ Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents ⋮ Consumption-portfolio optimization with recursive utility in incomplete markets ⋮ Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available ⋮ Equilibrium strategies for time-inconsistent stochastic switching systems ⋮ Epstein‐Zin utility maximization on a random horizon ⋮ Time-Inconsistent Recursive Stochastic Optimal Control Problems ⋮ Maximum principle for stochastic recursive optimal control problems involving impulse controls ⋮ Optimal Consumption‐Portfolio Policies With Habit Formation¹ ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ 2D backward stochastic Navier-Stokes equations with nonlinear forcing ⋮ BSDEs with polynomial growth generators in a defaultable market ⋮ Backward stochastic differential equations with reflection and Dynkin games ⋮ Optimal consumption and investment with Epstein-Zin recursive utility ⋮ Consumption-investment optimization with Epstein-Zin utility in incomplete markets ⋮ Mortality and Healthcare: A Stochastic Control Analysis under Epstein--Zin Preferences ⋮ Intertemporal recursive utility and an equilibrium asset pricing model in the presence of Lévy jumps ⋮ Viscosity solutions of nonlinear integro-differential equations ⋮ Hedging options for a large investor and forward-backward SDE's ⋮ On the parabolic equation for portfolio problems ⋮ On variant reflected backward SDEs, with applications ⋮ Numerical methods for forward-backward stochastic differential equations ⋮ An existence theorem of intertemporal recursive utility in the presence of Lévy jumps ⋮ Backward stochastic differential equations with constraints on the gains-process ⋮ The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations ⋮ Efficient and equilibrium allocations with stochastic differential utility

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Semilinear equations in \({\mathbb{R}}^ N\) without condition at infinity
• A Theory of the Term Structure of Interest Rates
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Viscosity Solutions of Hamilton-Jacobi Equations
• Stochastic Differential Utility
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• On the Existence of Positive Solutions of Semilinear Elliptic Equations

This page was built for publication: PDE solutions of stochastic differential utility