On the viscosity solutions of a stochastic differential utility problem

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On the viscosity solutions of a stochastic differential utility problem

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Fabio Antonelli
Andrea Pascucci

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

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

Note: Type of Document - pdf; pages: 19
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G - Financial Economics

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-04-16 (All new papers)

References listed on IDEAS
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Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-94, March. [Downloadable!] (restricted)

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, EconWPA. [Downloadable!]

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