On the viscosity solutions of a stochastic differential utility problem

Fabio Antonelli and Andrea Pascucci

Finance from University Library of Munich, Germany

Abstract: We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for degenerate nonlinear partial differential equation. We also characterize the solution in the vanishing viscosity sense.

Keywords: Viscosity solution; Burgers' equation; Stochastic differential utility (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
Pages: 19 pages
Date: 2005-03-18
Note: Type of Document - pdf; pages: 19
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0503021

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