On the viscosity solutions of a stochastic differential utility problem
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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- Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-94, March.
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