Stochastic differential utility as the continuous-time limit of recursive utility
نویسندگان
چکیده
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.
منابع مشابه
Consumption-Based Asset Pricing with Recursive Utility
In this paper it has been attempted to investigate the capability of the consumption-based capital asset pricing model (CCAPM), using the general method of moment (GMM), with regard to the Epstien-zin recursive preferences model for Iran's capital market. Generally speaking, recursive utility permits disentangling of the two psychologically separate concepts of risk aversion and elasticity of i...
متن کاملRobust control and recursive utility
This paper shows that a finite-horizon version of the robust control criterion appearing in recent papers by Hansen, Sargent, and their coauthors can be described as recursive utility, which in continuous time takes the form of the Stochastic Differential Utility (SDU) of Duffie and Epstein (1992). While it has previously been noted that Bellman equations arising in robust control settings are ...
متن کاملOn Calibration and Application of Logit-Based Stochastic Traffic Assignment Models
There is a growing recognition that discrete choice models are capable of providing a more realistic picture of route choice behavior. In particular, influential factors other than travel time that are found to affect the choice of route trigger the application of random utility models in the route choice literature. This paper focuses on path-based, logit-type stochastic route choice models, i...
متن کاملEnergy Scheduling in Power Market under Stochastic Dependence Structure
Since the emergence of power market, the target of power generating utilities has mainly switched from cost minimization to revenue maximization. They dispatch their power energy generation units in the uncertain environment of power market. As a result, multi-stage stochastic programming has been applied widely by many power generating agents as a suitable tool for dealing with self-scheduling...
متن کاملInvestigating the Role of real Money Balances in Households' Preferences function in the Framework of the Assets Pricing Models (M-CCAPM): Case study of Iran
In this paper, we try to develop and modify the basic model of the consumption-based capital asset pricing model by adding the growth in real money balances rate as a risk factor in the household's utility function as (M-CCAPM). For this purpose, two forms of utility function with constant relative risk aversion (CRRA) preferences and recursive preferences have been used such that M1 and M2 are...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- J. Economic Theory
دوره 151 شماره
صفحات -
تاریخ انتشار 2014