Acta mathematica scientia,Series B ›› 2000, Vol. 20 ›› Issue (4): 476-484.

• Articles • Previous Articles     Next Articles

STOCHASTIC DIFFERENTIAL UTILITY UNDER ON-LIPSCHITZ CONDITIONS 1

 ZHOU Shao-Fu, WANG Xiang-Jun   

  1. College of Management, Huazhong University of Science and Technology, Wuhan 430074, China Wuhan Institute of Physics and Mathematics, Chinese Academy of Sciences, Wuhan 430074, China
  • Received:1998-12-01 Online:2000-06-15 Published:2000-06-15
  • Supported by:

    The work supported by NSF of China

Abstract:

In this paper, the theory of stochastic differential utility is studied. Suffi-
cient conditions for existence, uniqueness, continuity, monotonicity, time consistency, risk
aversion and concavity are given under non-Lipschtz assumptions.

Key words: Backward stochastic differential equation, recursive utility, stochastic differ-
ential utility, utility function

CLC Number: 

  • 60H10
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