Journal
JOURNAL OF MATHEMATICAL ECONOMICS
Volume 34, Issue 4, Pages 509-526Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/S0304-4068(00)00053-7
Keywords
existence theorem; intertemporal recursive utility; Levy jumps
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This paper presents an existence theorem for a class of backward stochastic integral equations. The main contribution is a generalization of Dume and Epstein's [Duffie, D., Epstein, L., 1992. Stochastic differential utility, (Appendix C with Skiadas C.), Econometrica 60, 353-394.] existence theorem of intertemporal recursive utility to allow the information structure to be driven by a Levy jump process. The existence theorem applies also for a more general class of utility functions, such as recursive utility with habit-formation, and can be used to prove the existence of an equilibrium asset price process as a unique solution to the stochastic Euler equation derived by Ma [Ma, C., 1993b. Valuation of Derivative Securities with Mixed Poisson-Brownian Information and Recursive Utility, McGill University, mimeo.]. (C) 2000 Elsevier Science S.A. All rights reserved.
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