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Project C3.1: Recursive utility with intertemporal substitution and related stochastic representation problems


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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.


Recent Preprints:

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

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Stochastic representation under g-expectation and applications: the discrete time case


Authors: Miryana Grigorova, Hanwu Li Projects: C3
Submission Date: 11.02.2021 Submitter: Giorgio Ferrari
Download: PDF Link: 21025
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

Project: C3, C4

Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251

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Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty


Authors: Giorgio Ferrari, Hanwu Li, Frank Riedel Projects: C3, C4
Submission Date: 25.08.2020 Submitter: Herbert Dawid
Download: PDF Link: 20094
Published: Advances in Applied Probability 54, no. 4 (2022), 1222–1251

20036 Giorgio Ferrari, Hanwu Li, Frank Riedel PDF

A knightian irreversible investment problem

Project: C3, C4

Published: Journal of Mathematical Analysis and Applications 507 (2022), 125744, 1–39

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A knightian irreversible investment problem


Authors: Giorgio Ferrari, Hanwu Li, Frank Riedel Projects: C3, C4
Submission Date: 06.04.2020 Submitter: Herbert Dawid
Download: PDF Link: 20036
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)

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Pricing interest rate derivatives under volatility uncertainty


Authors: Julian Hölzermann Projects: C3
Submission Date: 10.03.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20028
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

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Stochastic Optimal Control Problem with Obstacle Constraints in Sublinear Expectation Framework


Authors: Hanwu Li, Falei Wang Projects: C3
Submission Date: 24.02.2020 Submitter: Frank Riedel
Download: PDF Link: 20026
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)

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Optimal Multiple Stopping Problem under Nonlinear Expectation


Authors: Hanwu Li Projects: C3
Submission Date: 21.02.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20024
To appear: Advances in Applied Probability (2023)

20023 Hanwu Li, Yongsheng Song PDF

Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections

Project: C3

To appear: Journal of Theoretical Probability. (2020)

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Backward Stochastic Differential Equations Driven by $\textit{G}$-Brownian Motion with Double Reflections


Authors: Hanwu Li, Yongsheng Song Projects: C3
Submission Date: 21.02.2020 Submitter: Giorgio Ferrari
Download: PDF Link: 20023
To appear: Journal of Theoretical Probability. (2020)

19095 Hanwu Li, Shige Peng PDF

Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle

Project: C3, C5

Published: Stochastic Processes and their Applications 130, no. 11 (2020), 6556--6579

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Reflected backward stochastic differential equation driven by G-Brownian motion with an upper obstacle


Authors: Hanwu Li, Shige Peng Projects: C3, C5
Submission Date: 21.10.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19095
Published: Stochastic Processes and their Applications 130, no. 11 (2020), 6556--6579

19034 Bodo Rubbenstroth PDF

Game Options under Knightian Uncertainty in Discrete Time

Project: C3

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Game Options under Knightian Uncertainty in Discrete Time


Authors: Bodo Rubbenstroth Projects: C3
Submission Date: 09.07.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19034

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

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Optimal consumption and portfolio choice with ambiguous interest rates and volatility


Authors: Qian Lin, Frank Riedel Projects: C3
Submission Date: 29.04.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19015
Published: Economic Theory (2020), 1-14


All Publications of this Project


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