Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
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DOI：
10.2139/ssrn.1873572
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发表时间：
2013-05
期刊：
影响因子：
--
通讯作者：
H. Kraft;F. Seifried
中科院分区：
文献类型：
--
作者：
H. Kraft;F. Seifried
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.
