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Citations for "PDE solutions of stochastic differential utility"

by Duffie, Darrel & Lions, Pierre-Louis

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  1. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO.
  2. Bernard Dumas & Raman Uppal & Tan Wang, 1998. "Efficient Intertemporal Allocations with Recursive Utility," NBER Technical Working Papers 0231, National Bureau of Economic Research, Inc.
  3. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1911-1928.
  4. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, vol. 61(4), pages 191-207, December.
  5. Itamar Drechsler & Alexi Savov & Philipp Schnabl, 2014. "A Model of Monetary Policy and Risk Premia," NBER Working Papers 20141, National Bureau of Economic Research, Inc.
  6. Riedel, Frank, 2002. "Generic Determinacy of Equilibria with Local Substitution," Department of Economics, Working Paper Series qt1727r74c, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  7. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, vol. 40(8), pages 1647-1664, November.
  8. Jianjun Miao, 2009. "Ambiguity, Risk and Portfolio Choice under Incomplete Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 257-279, November.
  9. Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, vol. 87(1), pages 93-106, May.
  10. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  11. Peng, Shige & Shi, Yufeng, 2000. "Infinite horizon forward-backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 85(1), pages 75-92, January.
  12. Epstein, Larry G. & Ji, Shaolin, 2014. "Ambiguous volatility, possibility and utility in continuous time," Journal of Mathematical Economics, Elsevier, vol. 50(C), pages 269-282.
  13. Viceira, Luis & Rodriguez, Jorge & Chacko, George & Campbell, John, 2004. "Strategic Asset Allocation in a Continuous-Time VAR Model," Scholarly Articles 3294738, Harvard University Department of Economics.
  14. Klaus Adam, 2001. "On the Relation between Robust and Bayesian Decision Making," CSEF Working Papers 68, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  15. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics 43142, London School of Economics and Political Science, LSE Library.
  16. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper 2014-002, Tilburg University, Center for Economic Research.
  17. Wang, Chong & Wang, Neng & Yang, Jinqiang, 2012. "A unified model of entrepreneurship dynamics," Journal of Financial Economics, Elsevier, vol. 106(1), pages 1-23.
  18. Stadje, Mitja, 2010. "Extending dynamic convex risk measures from discrete time to continuous time: A convergence approach," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 391-404, December.
  19. Smith, William T., 1996. "Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, vol. 53(2), pages 123-131, November.
  20. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on pension and life insurance contracts," Discussion Papers 2014/19, Department of Business and Management Science, Norwegian School of Economics.
  21. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Technological Innovation: Winners and Losers," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
  22. Roche, Hervé, 2011. "Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available," Journal of Economic Dynamics and Control, Elsevier, vol. 35(1), pages 80-96, January.
  23. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, vol. 125(2), pages 93-150, December.
  24. Detemple, Jerome B. & Karatzas, Ioannis, 2003. "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, vol. 113(2), pages 265-285, December.
  25. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, vol. 107(2), pages 325-349.
  26. Angeletos, George-Marios & Panousi, Vasia, 2009. "Revisiting the supply side effects of government spending," Journal of Monetary Economics, Elsevier, vol. 56(2), pages 137-153, March.
  27. Dibooglu, Sel & Kenc, Turalay, 2009. "Welfare cost of inflation in a stochastic balanced growth model," Economic Modelling, Elsevier, vol. 26(3), pages 650-658, May.
  28. Lazrak, Ali & Zapatero, Fernando, 2004. "Efficient consumption set under recursive utility and unknown beliefs," Journal of Mathematical Economics, Elsevier, vol. 40(1-2), pages 207-226, February.
  29. Detemple, Jerome B. & Giannikos, Christos I., 1996. "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1451-1504, August.
  30. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, vol. 107(2), pages 350-385.
  31. Hansen, Lars Peter & Sargent, Thomas J. & Turmuhambetova, Gauhar & Williams, Noah, 2006. "Robust control and model misspecification," Journal of Economic Theory, Elsevier, vol. 128(1), pages 45-90, May.
  32. Hamadène, Said & Zhang, Jianfeng, 2010. "Switching problem and related system of reflected backward SDEs," Stochastic Processes and their Applications, Elsevier, vol. 120(4), pages 403-426, April.
  33. Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, vol. 89(1), pages 68-126, November.
  34. Aase, Knut K., 2014. "Recursive utility with dependence on past consumption; the continuous-time model," Discussion Papers 2014/3, Department of Business and Management Science, Norwegian School of Economics.
  35. Aase, Knut K., 2014. "Heterogeniety and limited stock market Participation," Discussion Papers 2014/5, Department of Business and Management Science, Norwegian School of Economics.
  36. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1253-1288, May.
  37. Kenc, Turalay & Dibooglu, Sel, 2007. "The spirit of capitalism, asset pricing and growth in a small open economy," Journal of International Money and Finance, Elsevier, vol. 26(8), pages 1378-1402, December.
  38. Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
  39. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, vol. 101(3), pages 552-573, September.
  40. Turnovsky, Stephen J. & Smith, William T., 2006. "Equilibrium consumption and precautionary savings in a stochastically growing economy," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 243-278, February.
  41. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, vol. 21(2), pages 241-262, April.
  42. Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 155-202, December.
  43. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, vol. 34(4), pages 347-354, June.
  44. Antonelli, Fabio, 1996. "Stability of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 62(1), pages 103-114, March.
  45. Rozkosz, Andrzej & Słomiński, Leszek, 2012. "Lp solutions of reflected BSDEs under monotonicity condition," Stochastic Processes and their Applications, Elsevier, vol. 122(12), pages 3875-3900.
  46. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  47. Smith, William & Son, Young Seob, 2005. "Can the desire to conserve our natural resources be self-defeating?," Journal of Environmental Economics and Management, Elsevier, vol. 49(1), pages 52-67, January.
  48. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  49. Chichilnisky, G. & Zhou, Y., 1996. "Smooth Infinite Economies," Discussion Papers 1996_14, Columbia University, Department of Economics.
  50. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, vol. 110(3), pages 730-751.
  51. Kyoung Jin Choi & Hyeng Keun Koo & Do Young Kwak, 2004. "Optimal Stopping of Active Portfolio Management," Annals of Economics and Finance, Society for AEF, vol. 5(1), pages 93-126, May.
  52. Akira Kashiwabara & Nobuhiro Nakamura, 2011. "Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities," Asia-Pacific Financial Markets, Springer, vol. 18(2), pages 131-150, May.
  53. Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer, vol. 36(2), pages 99-124, November.
  54. Yong, Jiongmin, 2006. "Backward stochastic Volterra integral equations and some related problems," Stochastic Processes and their Applications, Elsevier, vol. 116(5), pages 779-795, May.
  55. Kenc, Turalay, 2004. "Taxation, risk-taking and growth: a continuous-time stochastic general equilibrium analysis with labor-leisure choice," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1511-1539, June.