A Generalized Stochastic Differential Utility

DOI10.1287/moor.28.1.154.14259zbMath1082.60053OpenAlexW2036785419MaRDI QIDQ5704119

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

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Signal detection and filtering (aspects of stochastic processes) (60G35) General theory of stochastic processes (60G07) Financial applications of other theories (91G80) Group preferences (91B10)

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