scholarly journals Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility

2011 ◽  
Author(s):  
Holger Kraft ◽  
Frank Thomas Seifried
Keyword(s):  
Continuous Time ◽  
Time Limit ◽  
Recursive Utility ◽  
Stochastic Differential Utility ◽  
Differential Utility

Optimistic about the future? How uncertainty and expectations about future consumption prospects affect optimal consumer behavior

2016 ◽  
Vol 16 (1) ◽  
Author(s):  
Johnson Kakeu ◽  
Sharri Byron
Keyword(s):  
Consumer Behavior ◽  
Growth Model ◽  
Continuous Time ◽  
Stochastic Growth ◽  
Stochastic Growth Model ◽  
Stochastic Differential Utility ◽  
The Future ◽  
Future Consumption ◽  
Differential Utility

AbstractThis paper analyzes a continuous time stochastic growth model with a Duffie and Epstein (Duffie, D., and L. Epstein. 1992. “Stochastic Differential Utility.”

The continuous-time limit of score-driven volatility models

2020 ◽  
Author(s):  
Giuseppe Buccheri ◽  
Fulvio Corsi ◽  
Franco Flandoli ◽  
Giulia Livieri
Keyword(s):  
Continuous Time ◽  
Time Limit ◽  
Volatility Models

scholarly journals Stochastic Differential Utility

Econometrica ◽  
1992 ◽  
Vol 60 (2) ◽  
pp. 353 ◽  
Author(s):  
Darrell Duffie ◽  
Larry G. Epstein
Keyword(s):  
Stochastic Differential Utility ◽  
Differential Utility
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