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On the viscosity solutions of a stochastic differential utility problem

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Author Info

  • Fabio Antonelli
  • Andrea Pascucci

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.

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File URL: http://128.118.178.162/eps/fin/papers/0503/0503021.pdf
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Bibliographic Info

Paper provided by EconWPA in its series Finance with number 0503021.

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Length: 19 pages
Date of creation: 18 Mar 2005
Date of revision:
Handle: RePEc:wpa:wuwpfi:0503021

Note: Type of Document - pdf; pages: 19
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Web page: http://128.118.178.162

Related research

Keywords: Viscosity solution; Burgers' equation; Stochastic differential utility;

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  1. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-94, March.
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Cited by:
  1. Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA.

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