| 非-Lipschitz条件下随机微分效用 |
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| 引用本文： | 周少甫,王湘君.非-Lipschitz条件下随机微分效用[J].华中科技大学学报(自然科学版),1999(11). |
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| 作者姓名： | 周少甫 王湘君 |
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| 作者单位： | 华中理工大学数学系 |
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| 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．
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| 关 键 词： | 倒向随机微分方程 递归效用 随机微分效用 效用函数 |
Stochastic Differential Utility under Non Lipschitz Conditions |
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| Zhou Shaopu,Wang Xiangjun.Stochastic Differential Utility under Non Lipschitz Conditions[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,1999(11). |
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| Authors: | Zhou Shaopu Wang Xiangjun |
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| Institution: | Zhou Shaopu Wang Xiangjun |
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| Abstract: | 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. |
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| Keywords: | backward stochastic differential equation recursive utility stochastic differential utility utility function |
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