Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
957022 | Journal of Economic Theory | 2014 | 23 Pages |
Abstract
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus [21], converges to stochastic differential utility, as introduced by Duffie and Epstein [10], in the continuous-time limit of vanishing grid size.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Holger Kraft, Frank Thomas Seifried,