PDE solutions of stochastic differential utility
Duffie, Darrel; Lions, Pierre-Louis (1992), PDE solutions of stochastic differential utility, Journal of Mathematical Economics, 21, 6, p. 577-606. http://dx.doi.org/10.1016/0304-4068(92)90028-6
TypeArticle accepté pour publication ou publié
Journal nameJournal of Mathematical Economics
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Abstract (EN)This paper presents conditions for the existence and properties of stochastic differential utility as a solution of a partial differential equation. Stochastic differential utility is an extension of the classical additively-separable utility model that is designed as a platform for new financial asset pricing results. The extension is important, for example, when investors display preference for early or late resolution of uncertainty. The existence conditions admit Kreps-Porteus stochastic differential utility.
Subjects / KeywordsPDE
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