SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
PDE solutions of stochastic differential utility
8 references·16 citing·46 second hop
PDE solutions of stochastic differential utility (1992)PDE solutions of stochastic differential …Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Stochastic Differential Utility (1992)Stochastic Differential Utili…Stochastic Integration and Differential Equations (1990)Stochastic Integration and Di…Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Substitution, Risk Aversion, …A Theory of the Term Structure of Interest Rates (1985)A Theory of the Term Structur…Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application (1983)Optimal control of diffustion…Introduction to Stochastic Integration (1983)Introduction to Stochastic In…Temporal Resolution of Uncertainty and Dynamic Choice Theory (1978)Temporal Resolution of Uncert…Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences (2019)Survival and Long-Run Dynamic…Uncertainty Shocks and Balance Sheet Recessions (2017)Uncertainty Shocks and Balanc…Time-Inconsistent Recursive Stochastic Optimal Control Problems (2017)Time-Inconsistent Recursive S…Optimal consumption and investment with Epstein–Zin recursive utility (2016)Optimal consumption and inves…Consumption–investment optimization with Epstein–Zin utility in incomplete markets (2016)Consumption–investment optimi…Learning about Rare Disasters: Implications For Consumption and Asset Prices (2014)Learning about Rare Disasters…Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility (2014)Does ambiguity matter? Estima…Growth to value: Option exercise and the cross section of equity returns (2012)Growth to value: Option exerc…Consumption-portfolio optimization with recursive utility in incomplete markets (2012)Consumption-portfolio optimiz…Switching problem and related system of reflected backward SDEs (2010)Switching problem and related…The dynamics of risk-sensitive allocations (2004)The dynamics of risk-sensitiv…Non-addictive habits: optimal consumption-portfolio policies (2003)Non-addictive habits: optimal…Infinite horizon forward–backward stochastic differential equations (2000)Infinite horizon forward–back…Reflected solutions of backward stochastic differential equations with continuous coefficient (1997)Reflected solutions of backwa…Backward Stochastic Differential Equations and Applications (1995)Backward Stochastic Different…Optimal Consumption‐Portfolio Policies With Habit Formation 1 (1992)Optimal Consumption‐Portfolio…Asset Prices in an Exchange Economy (1978)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)The Dual Theory of Choice under Risk (1987)Dynamic Asset Pricing Theory. (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Investor Psychology and Asset Pricing (2001)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Asset Pricing at the Millennium (2000)Robust Portfolio Rules and Asset Pricing (2004)Brownian Motion and Stochastic Calculus (2007)Controlled Diffusion Processes (1980)Stochastic Differential Equations and Diffusion Processes (1983)Stochastic differential equations with reflecting boundary conditions (1984)On an Investment-Consumption Model with Transaction Costs (1996)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)Weak Dynamic Programming Principle for Viscosity Solutions (2011)Evaluating Natural Resource Investments (1985)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)A note on existence and uniqueness for solutions of multidimensional reflected BSDEs (2011)BUY‐LOW AND SELL‐HIGH INVESTMENT STRATEGIES (2012)Viscosity Solutions of Systems of PDEs with Interconnected Obstacles and Switching Problem (2012)Utility Theory for Decision Making (1971)A Smooth Model of Decision Making under Ambiguity (2005)Expected Stock Returns and Variance Risk Premia (2009)An Intertemporal Capital Asset Pricing Model (1973)Credit Cycles (1997)The Impact of Uncertainty Shocks (2009)A Risk-Centric Model of Demand Recessions and Speculation* (2020)A Macro-Finance Model with Sentiment (2023)Sovereign Debt, Domestic Banks, and the Provision of Public Liquidity (2026)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Theory of rational option pricing (2005)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)Stochastic integration in UMD Banach spaces (2007)Arbitrage Theory in Continuous Time (1998)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Over-the-Counter Markets (2004)
this work references cited by second hop

References

  • 1985A Theory of the Term Structure of Interest Rates8,333 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1978Temporal Resolution of Uncertainty and Dynamic Choice Theory1,822 cited
  • 1990Stochastic Integration and Differential Equations1,195 cited
  • 1992Stochastic Differential Utility1,165 cited
  • 1983Introduction to Stochastic Integration454 cited
  • 1983Optimal control of diffustion processes and hamilton-jacobi-bellman equations part I: the dynamic programming principle and application218 cited

Cited by

  • 2017Uncertainty Shocks and Balance Sheet Recessions159 cited
  • 2010Switching problem and related system of reflected backward SDEs113 cited
  • 2012Growth to value: Option exercise and the cross section of equity returns109 cited
  • 2019Survival and Long-Run Dynamics with Heterogeneous Beliefs under Recursive Preferences96 cited
  • 2000Infinite horizon forward–backward stochastic differential equations91 cited
  • 1992Optimal Consumption‐Portfolio Policies With Habit Formation 184 cited
  • 2004

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

The dynamics of risk-sensitive allocations
73 cited
  • 2017Time-Inconsistent Recursive Stochastic Optimal Control Problems72 cited
  • 2012Consumption-portfolio optimization with recursive utility in incomplete markets72 cited
  • 2016Optimal consumption and investment with Epstein–Zin recursive utility64 cited
  • 1997Reflected solutions of backward stochastic differential equations with continuous coefficient64 cited
  • 2014Does ambiguity matter? Estimating asset pricing models with a multiple-priors recursive utility62 cited
  • 2003Non-addictive habits: optimal consumption-portfolio policies48 cited
  • 2014Learning about Rare Disasters: Implications For Consumption and Asset Prices47 cited
  • 1995Backward Stochastic Differential Equations and Applications47 cited
  • 2016Consumption–investment optimization with Epstein–Zin utility in incomplete markets47 cited