Recursive utility using the stochastic maximum principle

DOI10.3982/QE473zbMath1396.91776OpenAlexW3126011981MaRDI QIDQ4586206

Knut Kristian Aase

Publication date: 12 September 2018

Published in: Quantitative Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/qe473

zbMATH Keywords

stochastic maximum principleequity premium puzzlerecursive utility

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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