Thomas Seiferling

University of Kaiserslautern - Department of Mathematics

D-67653 Kaiserslautern

Germany

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

SAFE Working Paper No. 52
Number of pages: 43 Posted: 04 Jun 2014 Last Revised: 06 Jul 2016
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 295 (100,752)
Citation 4

Abstract:

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consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, fixed point approach, FBSDE

Optimal Consumption and Investment with Epstein-Zin Recursive Utility

Number of pages: 40 Posted: 15 Apr 2014 Last Revised: 04 Jul 2016
Holger Kraft, Thomas Seiferling and Frank Thomas Seifried
Goethe University Frankfurt, University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 261 (114,810)
Citation 12

Abstract:

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consumption-portfolio choice, asset pricing, stochastic differential utility, incomplete markets, FBSDE

2.

Epstein-Zin Stochastic Differential Utility: Existence, Uniqueness, Concavity, and Utility Gradients

Number of pages: 24 Posted: 03 Jul 2015 Last Revised: 01 Jun 2016
Thomas Seiferling and Frank Thomas Seifried
University of Kaiserslautern - Department of Mathematics and University of Trier
Downloads 175 (169,122)
Citation 4

Abstract:

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recursive utility, stochastic differential utility, utility gradient, BSDEs

3.

Backward Nonlinear Expectation Equations

Mathematics and Financial Economics, Vol. 12, No. 1, pp. 111-134, 2018
Posted: 11 Jan 2015 Last Revised: 10 Jan 2019
Christoph Belak, Thomas Seiferling and Frank Thomas Seifried
Technische Universit├Ąt Berlin (TU Berlin) - Fakultat II - Mathematik und Naturwissenschaften, University of Kaiserslautern - Department of Mathematics and University of Trier

Abstract:

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backward stochastic differential equation, nonlinear expectation, random G-expectation, recursive utility, volatility uncertainty