A generalized stochastic differential utility

Mathematics of Operations Research

Volumn 28, Issue 1, 2003, Pages 154-180

  Lazrak, Ali ^a,b   Quenez, Claire ^c  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b UNIVERSITÉ D EVRY VAL D ESSONNE   (France)

^c UFR des Sciences et Technologie   (France)

Author keywords

Backward stochastic differential equations; Brownian filtrations; Recursive utility; Risk aversion; Uncertainty resolution

Indexed keywords

FUNCTIONS; PROBLEM SOLVING; RANDOM PROCESSES; RISK ASSESSMENT;

BACKWARD STOCHASTIC DIFFERENTIAL EQUATIONS; GENERALIZED STOCHASTIC DIFFERENTIAL UTILITY;

DIFFERENTIAL EQUATIONS;

EID: 0038638954     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.28.1.154.14259     Document Type: Article

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