| Currently no visitors. |
Summary:
Intertemporal utility functions form the basic building block for dynamic economic models. We formulate a general theory of stochastic differential utility for intertemporal utility functions allowing for substitution and memory in robust settings. On the mathematical side, we study the existence of such utility functionals in the framework of G-backward stochastic differential equation (BSDE) theory. On the economic side, we will explore the consequences for optimal consumption and portfolio choice and aim to derive consumption--based asset pricing theories. Consumption occurs in many different goods and quality levels. In collaboration with research area B, we use the theory of stochastic partial differential equations to develop a theory of recursive utility for complex commodities whose characteristics may change over time.
|
21025
Miryana Grigorova, Hanwu Li PDF
Stochastic representation under g-expectation and applications: the discrete time case Project: C3 Published: Journal of Mathematical Analysis and Applications 518, no. 1 (2023), 1–19 Notes: Number 126703 |
|
20094
Giorgio Ferrari, Hanwu Li, Frank Riedel PDF
Optimal consumption with intertemporal substitution under Knightian uncertainty Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251 |
|
20036
Giorgio Ferrari, Hanwu Li, Frank Riedel PDF
A Knightian irreversible investment problem Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39 |
|
20028
Julian Hölzermann PDF
Pricing interest rate derivatives under volatility uncertainty Project: C3 To appear: Annals of Operations Research (2022) |
|
20026
Hanwu Li, Falei Wang PDF
Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework Project: C3 Published: Journal of Optimization Theory and Applications 183 (2020), 422–439 |
|
20024
Hanwu Li PDF
Optimal Multiple Stopping Problem under Nonlinear Expectation Project: C3 To appear: Advances in Applied Probability (2023) |
|
20023
Hanwu Li, Yongsheng Song PDF
Project: C3 To appear: Journal of Theoretical Probability. (2020)
X
Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections |
|
19095
Hanwu Li, Shige Peng PDF
Published: Stochastic Processes and their Applications 130, no. 11 (2020), 6556--6579
X
Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle |
|
19034
Bodo Rubbenstroth PDF
Game Options under Knightian Uncertainty in Discrete Time Project: C3 |
|
19015
Qian Lin, Frank Riedel PDF
Optimal consumption and portfolio choice with ambiguous interest rates and volatility Project: C3 Published: Economic Theory (2020), 1-14 |
