Recursive utility, martingales, and the asymptotic behaviour of optimal processes
From MaRDI portal
Publication:673261
DOI10.1016/S0165-1889(96)00942-6zbMATH Open0879.90044MaRDI QIDQ673261FDOQ673261
Publication date: 28 February 1997
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- A complete characterization of optimal growth paths in an aggregated model with a non-concave production function
- Temporal Resolution of Uncertainty and Dynamic Choice Theory
- Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
- Stochastic Monotonicity and Stationary Distributions for Dynamic Economies
- Minimizing a Submodular Function on a Lattice
- Optimal growth in a stochastic environment: Some sensitivity and turnpike results
- On the existence of optimal processes in non-stationary environments
- One-Sector Nonclassical Optimal Growth: Optimality Conditions and Comparative Dynamics
- A note on the stochastic value loss assumption
- Intertemporal allocation with a non-convex technology: The aggregative framework
- On the asymptotic behavior of stochastic economic processes. Two examples from intertemporal allocation under uncertainty
- Global asymptotic stability results for multisector models of optional growth under uncertainty when future utilities are discounted
- Stationary Recursive Utility and Dynamic Programming under the Assumption of Biconvergence
- Recursive utility and the Ramsey problem
- A unifying approach to axiomatic non-expected utility theories
- On Optimal Economic Growth with Changing Technology and Tastes: Characterization and Stability Results
Cited In (1)
Recommendations
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market 👍 👎
- On martingale problems and Feller processes 👍 👎
- Stochastic differential utility as the continuous-time limit of recursive utility 👍 👎
- Utility maximization in incomplete markets for unbounded processes 👍 👎
- Optimal martingale measure maximizing the expected total utility of consumption with applications to derivative pricing 👍 👎
- Optimal martingale estimating equations in a stochastic process 👍 👎
- Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations 👍 👎
- Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire 👍 👎
- Recursive utility using the stochastic maximum principle 👍 👎
- A note on a new class of recursive utilities in Markov decision processes 👍 👎
This page was built for publication: Recursive utility, martingales, and the asymptotic behaviour of optimal processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q673261)
