Stochastic differential utility

摘要: A stochastic differential formulation of recursive utility is given sufficient conditions for existence, uniqueness, time consistency, monotonicity, continuity, risk aversion, concavity, and other properties. In the setting Brownian information, intertemporal expected functions are observationally distinguishable. However, one cannot distinguish between a number non-expected-utility theories one-shot choice under uncertainty after they suitably integrated into an framework. "smooth" Markov setting, model produces generalization Hamilton-Bellman-Jacobi characterization optimality. companion paper explores implications asset prices. Copyright 1992 by The Econometric Society.