Stochastic Differential Utility

DOI10.2307/2951600zbMath0763.90005OpenAlexW1994823764MaRDI QIDQ4006270

Publication date: 26 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2951600

zbMATH Keywords

Bellman equation stochastic control choice under uncertainty Brownian information stochastic differential formulation of recursive utility

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Optimal stochastic control (93E20) Individual preferences (91B08)

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