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dc.contributor.authorDuffie, Darrel
dc.contributor.authorLions, Pierre-Louis
dc.date.accessioned2014-12-15T09:43:36Z
dc.date.available2014-12-15T09:43:36Z
dc.date.issued1992
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14451
dc.language.isoenen
dc.subjectPDEen
dc.subject.ddc515en
dc.titlePDE solutions of stochastic differential utilityen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol21en
dc.relation.isversionofjnlissue6en
dc.relation.isversionofjnldate1992
dc.relation.isversionofjnlpages577-606en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/0304-4068(92)90028-6en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelAnalyseen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen


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