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PDE solutions of stochastic differential utility · Study

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ArticlePDE solutions of stochastic differential utility

Darrell Duffie1992

Article1992

PDE solutions of stochastic differential utility

Darrell Duffie · Pierre‐Louis Lions

123 citations·0/0 files stored·Journal of Mathematical Economics

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Stochastic processes and financial applications Decision-Making and Behavioral Economics Economic theories and models

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References

1985A Theory of the Term Structure of Interest Rates 2005Stochastic Integration and Differential Equations 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory 1990Stochastic Integration and Differential Equations 1992Stochastic Differential Utility 1983Introduction to Stochastic Integration 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application

Cited by

2017Uncertainty Shocks and Balance Sheet Recessions 2010Switching problem and related system of reflected backward SDEs 2012Growth to value: Option exercise and the cross section of equity returns 2019Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences 2000Infinite horizon forward–backward stochastic differential equations 1992

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Details

Year1992

Typearticle

Published1992-01-01

VenueJournal of Mathematical Economics

ISSN-L0304-4068

Languageen

Citations123

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-4068(92)90028-6

openalex_workW2093645352

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Optimal Consumption‐Portfolio Policies With Habit Formation 1

2017Time-Inconsistent Recursive Stochastic Optimal Control Problems

2012Consumption-portfolio optimization with recursive utility in incomplete markets