Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
From MaRDI portal
Publication:1932535
DOI10.1007/s11579-010-0030-1zbMath1255.91107MaRDI QIDQ1932535
Holger Kraft, Frank Thomas Seifried
Publication date: 20 January 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/6243/1801.pdf
dynamic programming; normalization; recursive utility; certainty equivalents; stochastic differential utility; Lévy framework
91B16: Utility theory
90C39: Dynamic programming
60H30: Applications of stochastic analysis (to PDEs, etc.)
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