In the present paper we find the solution for the stochastic differentialutility problem introduced by [2] using a backward stochastic Volterra integral differentialapproach. In particular we generalize results already obtained in literaturepassing from global to local Lipschitz assumption for the drift component.
BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATION APPROACH TO STOCHASTIC DIFFERENTIAL UTILITY
DI PERSIO, Luca
2014
Abstract
In the present paper we find the solution for the stochastic differentialutility problem introduced by [2] using a backward stochastic Volterra integral differentialapproach. In particular we generalize results already obtained in literaturepassing from global to local Lipschitz assumption for the drift component.
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