Stochastic Differential Utility as the Continuous-Time Limit of Recursive Utility
- Journal of Economic Theory, Vol. 151, pp. 528-550
Frank Thomas Seifried
- Program Area:
- Financial Markets
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
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