PDE solutions of stochastic differential utility

DOI10.1016/0304-4068(92)90028-6zbMATH Open0768.90006OpenAlexW2093645352MaRDI QIDQ1802947FDOQ1802947

Authors: P.-L. Lions, 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

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zbMATH Keywords

financebackward stochastic differential equationHamilton-Jacobi-Bellman equationsrecursive utilityrecursive model of preferences

Mathematics Subject Classification ID

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

Cites Work

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Cited In (37)

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

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