Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/88743 
Year of Publication: 
2013
Series/Report no.: 
SAFE Working Paper No. 17
Publisher: 
Goethe University Frankfurt, SAFE - Sustainable Architecture for Finance in Europe, Frankfurt a. M.
Abstract: 
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 Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
Subjects: 
Stochastic differential utility
recursive utility
convergence
backward stochastic differential equation
JEL: 
D81
D91
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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