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On the viscosity solutions of a stochastic differential utility problem

Author

Listed:
  • 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.

Suggested Citation

  • Fabio Antonelli & Andrea Pascucci, 2005. "On the viscosity solutions of a stochastic differential utility problem," Finance 0503021, EconWPA.
  • Handle: RePEc:wpa:wuwpfi:0503021 Note: Type of Document - pdf; pages: 19
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    File URL: http://econwpa.repec.org/eps/fin/papers/0503/0503021.pdf
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    References listed on IDEAS

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    1. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-394, 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.

    More about this item

    Keywords

    Viscosity solution; Burgers' equation; Stochastic differential utility;

    JEL classification:

    • G - Financial Economics

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