A Generalized Stochastic Differential Utility

DOI10.1287/moor.28.1.154.14259zbMath1082.60053MaRDI QIDQ5704119

Marie-Claire Quenez, Ali Lazrak

Publication date: 11 November 2005

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.28.1.154.14259

zbMATH Keywords

backward stochastic differential equations; risk aversion; recursive utility; uncertainty resolution; Brownian filtrations

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60G35: Signal detection and filtering (aspects of stochastic processes)

60G07: General theory of stochastic processes

91G80: Financial applications of other theories

91B10: Group preferences

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