On the viscosity solutions of a stochastic differential utility problem
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References listed on IDEAS
- 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:
- Guangbao Guo, 2018. "Finite Difference Methods for the BSDEs in Finance," IJFS, MDPI, vol. 6(1), pages 1-15, March.
- Andrea Pascucci & Marco Di Francesco, 2005. "On the complete model with stochastic volatility by Hobson and Rogers," Finance 0503013, University Library of Munich, Germany.
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More about this item
Keywords
Viscosity solution; Burgers' equation; Stochastic differential utility;All these keywords.
JEL classification:
- G - Financial Economics
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