Stochastic Differential Utility
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Recommendations
- A Generalized Stochastic Differential Utility
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Cited in
(only showing first 100 items - show all)- Stochastic optimization theory of backward stochastic differential equations with jumps and viscosity solutions of Hamilton-Jacobi-Bellman equations
- Optimal consumption choices for a `large' investor
- Optimal growth and recursive utility: Phase diagram analysis
- Continuous-time security pricing. A utility gradient approach
- Efficient and equilibrium allocations with stochastic differential utility
- Is Krebs-Porteus utility distinguishable from intertemporal expected utility?
- Asset and commodity prices with multi-attribute durable goods
- Reflected solutions of backward stochastic differential equations with continuous coefficient
- Smooth infinite economies
- Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time
- Entropy solutions to a strongly degenerate anisotropic convection--diffusion equation with application to utility theory
- Non-addictive habits: optimal consumption-portfolio policies.
- Efficient consumption set under recursive utility and unknown beliefs.
- Nonlinear Doob-Meyer decomposition with jumps.
- Efficient intertemporal allocations with recursive utility.
- An existence theorem of intertemporal recursive utility in the presence of Lévy jumps
- Explicit characterizations of financial prices with history-dependent utility
- Infinite horizon forward-backward stochastic differential equations
- Pricing long-lived securities in dynamic endowment economies
- Equilibrium variance risk premium in a cost-free production economy
- Recursive stochastic linear-quadratic optimal control and nonzero-sum differential game problems with random jumps
- The stochastic maximum principle in singular optimal control with recursive utilities
- A sufficient stochastic maximum principle for a kind of recursive optimal control problem with obstacle constraint
- Backward stochastic differential equations with Markov chains and related asymptotic properties
- Volatility risk and economic welfare
- Continuous-time smooth ambiguity preferences
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls
- Interpreting volatility shocks as preference shocks
- Near-optimal control of stochastic recursive systems via viscosity solution
- Maximum principles of Markov regime-switching forward-backward stochastic differential equations with jumps and partial information
- Backward stochastic dynamics with a subdifferential operator and non-local parabolic variational inequalities
- Controlled mean-field backward stochastic differential equations with jumps involving the value function
- Backward nonlinear expectation equations
- Optimal control of forward-backward mean-field stochastic delayed systems
- Mean-field type games between two players driven by backward stochastic differential equations
- Backward stochastic \(H_2 / H_{\infty}\) control: infinite horizon case
- One kind of multiple dimensional Markovian BSDEs with stochastic linear growth generators
- Convertible bonds with higher loan rate: model, valuation, and optimal strategy
- An optimal control problem of forward-backward stochastic Volterra integral equations with state constraints
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- Consumption-portfolio choice with preferences for cash
- Maximum principle for Markov regime-switching forward-backward stochastic control system with jumps and relation to dynamic programming
- Retracted: ``Multidimensional viscosity solution theory of semi-linear partial differential equations
- Robust consumption and portfolio policies when asset prices can jump
- Number of paths versus number of basis functions in American option pricing
- Generalized stochastic differential utility and preference for information
- Dynamically consistent investment under model uncertainty: the robust forward criteria
- PDE solutions of stochastic differential utility
- The integrability problem of asset prices
- Viscosity solutions of nonlinear integro-differential equations
- Forward-backward stochastic differential equations with Brownian motion and Poisson process
- Forward-backward stochastic differential equations with nonsmooth coefficients.
- Stability of backward stochastic differential equations
- On the existence of expected utility with CRRA under STUR
- On securitization, market completion and equilibrium risk transfer
- Foundations of continuous-time recursive utility: differentiability and normalization of certainty equivalents
- The behavior of individual and aggregate stock prices
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Consumption-portfolio optimization with recursive utility in incomplete markets
- Optimal stopping under ambiguity in continuous time
- Stochastic recursive zero-sum differential game and mixed zero-sum differential game problem
- Optimal consumption and portfolio selection with stochastic differential utility
- Long-run risk and hidden growth persistence
- Stochastic maximum principle on a continuous-time behavioral portfolio model
- Recursive utility optimization with concave coefficients
- Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion
- Backward stochastic Volterra integral equations -- a brief survey
- Brownian equilibria under Knightian uncertainty
- Comparison theorems for some backward stochastic Volterra integral equations
- Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures
- Stochastic dynamic utilities and intertemporal preferences
- The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
- Recursive utility processes, dynamic risk measures and quadratic backward stochastic Volterra integral equations
- Robust consumption portfolio optimization with stochastic differential utility
- Estimating robustness
- A Stackelberg game of backward stochastic differential equations with partial information
- Pandemic portfolio choice
- Asset pricing under smooth ambiguity in continuous time
- On stochastic control for time changed Lévy dynamics
- Optimal controls of stochastic differential equations with jumps and random coefficients: stochastic Hamilton-Jacobi-Bellman equations with jumps
- Optimal investment, consumption and life insurance strategies under stochastic differential utility with habit formation
- The infinite-horizon investment-consumption problem for Epstein-Zin stochastic differential utility. I: Foundations
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control
- Existence and uniqueness of recursive utilities without boundedness
- Mean-field backward stochastic differential equations and applications
- Optimal investment and benefit adjustment problem for a target benefit pension plan with Cobb-Douglas utility and Epstein-Zin recursive utility
- A note on \(g\)-concave function
- Sequential systems of reflected backward stochastic differential equations with application to impulse control
- Robust risk-taking under a sustainable constraint
- A BSDE approach to stochastic differential games involving impulse controls and HJBI equation
- Robust consumption and portfolio choice with derivatives trading
- Well-posedness of backward stochastic partial differential equations with Lyapunov condition
- Characterization of fully coupled FBSDE in terms of portfolio optimization
- A generalized stochastic differential utility driven by G-Brownian motion
- Nonrecursive separation of risk and time preferences
- A Stackelberg game of backward stochastic differential equations with applications
- Social optima of backward linear-quadratic-Gaussian mean-field teams
- Short-run risk, business cycle, and the value premium
- Partially observed time-inconsistency recursive optimization problem and application
- Portfolio selection: a review
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