Stochastic differential utility as the continuous-time limit of recursive utility

Holger Kraft and Frank Thomas Seifried

Journal of Economic Theory, 2014, vol. 151, issue C, 528-550

Abstract: We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus [21], converges to stochastic differential utility, as introduced by Duffie and Epstein [10], in the continuous-time limit of vanishing grid size.

Keywords: Stochastic differential utility; Recursive utility; Convergence; Backward stochastic differential equation (search for similar items in EconPapers)
JEL-codes: D81 D91 (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (24)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:151:y:2014:i:c:p:528-550

DOI: 10.1016/j.jet.2013.12.007

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