Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach

DOI10.2307/2951566zbMath0764.90010MaRDI QIDQ4013231

Ayman Hindy, Chi-fu Huang

Publication date: 27 September 1992

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/1721.1/48656

zbMATH Keywords

uncertainty; Brownian motion; martingales; continuous time; local substitution; topologies; Itô processes; non-time-additive utility functions; space of consumption patterns

Mathematics Subject Classification ID

91B62: Economic growth models

91B08: Individual preferences

91B42: Consumer behavior, demand theory

Related Items

Equilibrium Pricing of Derivative Securities in Dynamically Incomplete Markets, ON SUNSPOTS, HABITS, AND MONETARY FACTS, Externalities and nonlinear discounting: Indeterminacy, Stochastic equilibria for economies under uncertainty with intertemporal substitution, Optimal consumption and portfolio rules with durability and habit formation, Consistent high-frequency calibration, On equilibrium prices in continuous time, On intertemporal preferences in continuous time. The case of certainty, An empirical application of the information-structures model: The postal authority case, Continuous-time security pricing. A utility gradient approach, Asset and commodity prices with multi-attribute durable goods, Increasing marginal impatience and intertemporal substitution, General equilibrium analysis in ordered topological vector spaces, Viable prices in financial markets with solvency constraints, Generic determinacy of equilibria with local substitution