一类非Lipschitz条件下的随机微分效用
A Kind of Stochastic Differential Utility
摘要
利用一类系数不满足Lipschitz条件的倒向随机微分方程,推广了由Duffie和Epstein提出的随机微分效用概念。
Abstract
Making use of a kind of BSDEs, we generalize the notion of stochastic differential utility given by Duffle and Epstein.
关键词
随机微分效用/效用函数/倒向随机微分方程Key words
Stochastic differential utility/Utility function/BSDEs引用本文复制引用
出版年
2011
NETL
NSTL
万方数据