Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/88743
Authors: 
Kraft, Holger
Seifried, Frank Thomas
Year of Publication: 
2013
Series/Report no.: 
SAFE Working Paper Series 17
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

Files in This Item:
File
Size
676.32 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.