We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Dufffie and Epstein (1992), in the continuous-time limit of vanishing grid size
International audienceThis paper generalizes, in the setting of Brownian information, the Duffie-Eps...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
We study time-inconsistent recursive stochastic control problems. Since for this class of problems c...
In this thesis, mathematical research questions related to recursive utility and stochastic differen...
Motivated by the problems of the conventional model in rationalizing market data, we derive the...
Three essays in the study recursive utility are presented. The first is an exposition of the extant ...
This paper relates recursive utility in continuous time to its discrete-time origins and provides a ...
We derive the equilibrium interest rate and risk premiums using recursive utility for jump-di usion...
janvier 2005A discrete-time financial market model is considered with a sequence of investors whose ...
Motivated by the problems of the conventional model in rational- izing market data, we derive the e...
Beißner P. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. W...
We analyze optimal consumption, including pensions, during the life time of a consumer using the lif...
We introduce a new class of finite horizon stochastic decision problems in which preferences change ...
janvier 2005A discrete-time financial market model is considered with a sequence of investors whose ...
We determine optimal consumption paths under a series of returns scenarios for charitable endowments...
International audienceThis paper generalizes, in the setting of Brownian information, the Duffie-Eps...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
We study time-inconsistent recursive stochastic control problems. Since for this class of problems c...
In this thesis, mathematical research questions related to recursive utility and stochastic differen...
Motivated by the problems of the conventional model in rationalizing market data, we derive the...
Three essays in the study recursive utility are presented. The first is an exposition of the extant ...
This paper relates recursive utility in continuous time to its discrete-time origins and provides a ...
We derive the equilibrium interest rate and risk premiums using recursive utility for jump-di usion...
janvier 2005A discrete-time financial market model is considered with a sequence of investors whose ...
Motivated by the problems of the conventional model in rational- izing market data, we derive the e...
Beißner P. Existence of Arrow-Debreu Equilibrium with Generalized Stochastic Differential Utility. W...
We analyze optimal consumption, including pensions, during the life time of a consumer using the lif...
We introduce a new class of finite horizon stochastic decision problems in which preferences change ...
janvier 2005A discrete-time financial market model is considered with a sequence of investors whose ...
We determine optimal consumption paths under a series of returns scenarios for charitable endowments...
International audienceThis paper generalizes, in the setting of Brownian information, the Duffie-Eps...
Abstract: Conditions, suitable for applications in finance, are given for the weak convergence (or c...
We study time-inconsistent recursive stochastic control problems. Since for this class of problems c...