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Citations for "PDE solutions of stochastic differential utility"

by Duffie, Darrel & Lions, Pierre-Louis

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  1. 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, Elsevier, vol. 35(1), pages 80-96, January.
  2. Muro, Kazunobu, 2007. "Individual preferences and the effect of uncertainty on irreversible investment," Research in Economics, Elsevier, Elsevier, vol. 61(4), pages 191-207, December.
  3. Georgy Chabakauri, 2010. "Asset pricing with heterogeneous investors and portfolio constraints," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 43142, London School of Economics and Political Science, LSE Library.
  4. Pakoš, Michal, 2013. "Long-run risk and hidden growth persistence," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 37(9), pages 1911-1928.
  5. Du, Du, 2013. "General equilibrium pricing of currency and currency options," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(3), pages 730-751.
  6. Stadje, M.A. & Pelsser, A., 2014. "Time-Consistent and Market-Consistent Evaluations (Revised version of 2012-086)," Discussion Paper, Tilburg University, Center for Economic Research 2014-002, Tilburg University, Center for Economic Research.
  7. 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.
  8. Klaus Adam, 2001. "On the Relation between Robust and Bayesian Decision Making," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 68, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  9. Smith, William T., 1996. "Feasibility and transversality conditions for models of portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, Elsevier, vol. 53(2), pages 123-131, November.
  10. Carole Bernard & Shaolin Ji & Weidong Tian, 2013. "An optimal insurance design problem under Knightian uncertainty," Decisions in Economics and Finance, Springer, Springer, vol. 36(2), pages 99-124, November.
  11. Smith, William T., 1996. "Taxes, uncertainty, and long-term growth," European Economic Review, Elsevier, Elsevier, vol. 40(8), pages 1647-1664, November.
  12. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, Elsevier, vol. 93(2), pages 240-259, August.
  13. Aase, Knut K., 2014. "Recursive utility with dependence on past consumption; the continuous-time model," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2014/3, Department of Business and Management Science, Norwegian School of Economics.
  14. Anderson, Evan W., 2005. "The dynamics of risk-sensitive allocations," Journal of Economic Theory, Elsevier, Elsevier, vol. 125(2), pages 93-150, December.
  15. Yong, Jiongmin, 2006. "Backward stochastic Volterra integral equations and some related problems," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 116(5), pages 779-795, May.
  16. Massimo Guidolin & Francesca Rinaldi, 2010. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Working Papers, Federal Reserve Bank of St. Louis 2010-028, Federal Reserve Bank of St. Louis.
  17. 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.
  18. Frank Riedel, 2003. "Generic Determinacy of Equilibria with Local Substitution," GE, Growth, Math methods, EconWPA 0303001, EconWPA.
  19. Detemple, Jerome B. & Giannikos, Christos I., 1996. "Asset and commodity prices with multi-attribute durable goods," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(8), pages 1451-1504, August.
  20. Benzoni, Luca & Collin-Dufresne, Pierre & Goldstein, Robert S., 2011. "Explaining asset pricing puzzles associated with the 1987 market crash," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(3), pages 552-573, September.
  21. Detemple, Jerome B. & Karatzas, Ioannis, 2003. "Non-addictive habits: optimal consumption-portfolio policies," Journal of Economic Theory, Elsevier, Elsevier, vol. 113(2), pages 265-285, December.
  22. Rozkosz, Andrzej & Słomiński, Leszek, 2012. "Lp solutions of reflected BSDEs under monotonicity condition," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 122(12), pages 3875-3900.
  23. Matoussi, Anis, 1997. "Reflected solutions of backward stochastic differential equations with continuous coefficient," Statistics & Probability Letters, Elsevier, Elsevier, vol. 34(4), pages 347-354, June.
  24. Hu, Ying & Yong, Jiongmin, 2000. "Forward-backward stochastic differential equations with nonsmooth coefficients," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 87(1), pages 93-106, May.
  25. Angeletos, George-Marios & Panousi, Vasia, 2009. "Revisiting the supply side effects of government spending," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(2), pages 137-153, March.
  26. Larry Epstein & Shaolin Ji, 2011. "Ambiguous Volatility, Possibility and Utility in Continuous Time," Papers 1103.1652, arXiv.org, revised Jan 2013.
  27. Stephen Turnovsky & William Smith, 2004. "Equilibrium Consumption and Precautionary Savings in a Stochastically Growing Economy," Working Papers, University of Washington, Department of Economics UWEC-2006-01-P, University of Washington, Department of Economics, revised Oct 2004.
  28. Aase, Knut K., 2014. "Recursive utility and jump-diffusions," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2014/9, Department of Business and Management Science, Norwegian School of Economics.
  29. 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.
  30. Wang, Chong & Wang, Neng & Yang, Jinqiang, 2012. "A unified model of entrepreneurship dynamics," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(1), pages 1-23.
  31. Peng, Shige & Shi, Yufeng, 2000. "Infinite horizon forward-backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 85(1), pages 75-92, January.
  32. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, Elsevier, vol. 128(1), pages 136-163, May.
  33. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers, CIRANO 2003s-12, CIRANO.
  34. Hamadène, Said & Zhang, Jianfeng, 2010. "Switching problem and related system of reflected backward SDEs," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 120(4), pages 403-426, April.
  35. Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 108(2), pages 155-202, December.
  36. 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, Elsevier, vol. 28(8), pages 1511-1539, June.
  37. 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.
  38. 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.
  39. 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.
  40. Lazrak, Ali & Zapatero, Fernando, 2004. "Efficient consumption set under recursive utility and unknown beliefs," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 40(1-2), pages 207-226, February.
  41. Schroder, Mark & Skiadas, Costis, 1999. "Optimal Consumption and Portfolio Selection with Stochastic Differential Utility," Journal of Economic Theory, Elsevier, Elsevier, vol. 89(1), pages 68-126, November.
  42. Chichilnisky, Graciela & Zhou, Yuqing, 1998. "Smooth infinite economies," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 29(1), pages 27-42, January.
  43. Aase, Knut K., 2014. "The Life Cycle Model with Recursive Utility: New insights on pension and life insurance contracts," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2014/19, Department of Business and Management Science, Norwegian School of Economics.
  44. Aase, Knut K., 2014. "Heterogeniety and limited stock market Participation," Discussion Papers, Department of Business and Management Science, Norwegian School of Economics 2014/5, Department of Business and Management Science, Norwegian School of Economics.
  45. Smith, William T., 1999. "Risk, the Spirit of Capitalism and Growth: The Implications of a Preference for Capital," Journal of Macroeconomics, Elsevier, Elsevier, vol. 21(2), pages 241-262, April.
  46. Hansen, Lars Peter & Sargent, Thomas J. & Turmuhambetova, Gauhar & Williams, Noah, 2006. "Robust control and model misspecification," Journal of Economic Theory, Elsevier, Elsevier, vol. 128(1), pages 45-90, May.
  47. Epstein, Larry G. & Miao, Jianjun, 2003. "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 27(7), pages 1253-1288, May.
  48. 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, Elsevier, vol. 26(8), pages 1378-1402, December.
  49. Arnold, Marc & Wagner, Alexander F. & Westermann, Ramona, 2013. "Growth options, macroeconomic conditions, and the cross section of credit risk," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(2), pages 350-385.
  50. Antonelli, Fabio, 1996. "Stability of backward stochastic differential equations," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 62(1), pages 103-114, March.
  51. 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.
  52. Dibooglu, Sel & Kenc, Turalay, 2009. "Welfare cost of inflation in a stochastic balanced growth model," Economic Modelling, Elsevier, Elsevier, vol. 26(3), pages 650-658, May.
  53. Leonid Kogan & Dimitris Papanikolaou & Noah Stoffman, 2013. "Technological Innovation: Winners and Losers," NBER Working Papers 18671, National Bureau of Economic Research, Inc.
  54. Ai, Hengjie & Kiku, Dana, 2013. "Growth to value: Option exercise and the cross section of equity returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(2), pages 325-349.
  55. Akira Kashiwabara & Nobuhiro Nakamura, 2011. "Dynamic Investment Strategies to Reaction–Diffusion Systems Based upon Stochastic Differential Utilities," Asia-Pacific Financial Markets, Springer, Springer, vol. 18(2), pages 131-150, May.