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
2014-01-01
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.File in questo prodotto:
File | Dimensione | Formato | |
---|---|---|---|
BACKWARD STOCHASTIC VOLTERRA INTEGRAL EQUATION APPROACH TO STOCHASTIC.pdf
accesso aperto
Tipologia:
Versione dell'editore
Licenza:
Creative commons
Dimensione
81.45 kB
Formato
Adobe PDF
|
81.45 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.