Download This PaperStochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
SAFE Working Paper No. 17
23 Pages Posted: 13 May 2013
There are 2 versions of this paper
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
Number of pages: 21
Posted: 29 Jun 2011
Last Revised: 12 May 2013
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Date Written: May 10, 2013
Abstract
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic di fferential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
Keywords: stochastic diff erential utility, recursive utility, convergence, backward stochastic di fferential equation
JEL Classification: D81, D91
Suggested Citation: Suggested Citation
Kraft, Holger and Seifried, Frank Thomas, Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility (May 10, 2013). SAFE Working Paper No. 17, Available at SSRN: https://ssrn.com/abstract=2264293 or http://dx.doi.org/10.2139/ssrn.2264293
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