摘要
研究了由Ｄｕｆｆｉｅ 和Ｅｐｓｔｅｉｎ 等创立的随机微分效用理论．在非－Ｌｉｐｓｃｈｉｔｚ条件下，讨论了随机微分效用的存在性和唯一性以及效用过程的时间相容性，并对消费的单调性、对终值的单调性和风险厌恶及凹性进行了讨论．
The theory of stochastic differential utility by view point of backward stochastic differential equation (BSDE) is studied. By using BSDE techniques, sufficient conditions for existence, uniqueness, time consistency, monotonicity, risk aversion and concavity are given under non Lipschitz assumptions.
出处
《华中理工大学学报》
CSCD
北大核心
1999年第11期101-103,共3页
Journal of Huazhong University of Science and Technology
基金
国家自然科学基金
关键词
随机微分方程
随机微分效用
非李普希兹条件
backward stochastic differential equation
recursive utility
stochastic differential utility
utility function
