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A generalized stochastic differential utility
- Source :
- Mathematics of Operations Research. February 2003, Vol. 28 Issue 1, p154, 27 p.
- Publication Year :
- 2003
-
Abstract
- This paper generalizes, in the setting of Brownian information, the Duffie--Epstein (1992) stochastic differential formulation of intertemporal recursive utility (SDU). We provide a utility functional of state-contingent consumption plans that [...]
Details
- Language :
- English
- ISSN :
- 0364765X
- Volume :
- 28
- Issue :
- 1
- Database :
- Gale General OneFile
- Journal :
- Mathematics of Operations Research
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.105786532