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



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:

19015 Frank Riedel, Qian Lin PDF

All wealth in assets is optimal under interest rate uncertainty

Project: C3

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All wealth in assets is optimal under interest rate uncertainty


Authors: Frank Riedel, Qian Lin Projects: C3
Submission Date: 29.04.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19015

19014 Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner PDF

On a Class of Infinite-Dimensional Singular Stochastic Control Problems

Project: B1, C3, C4

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On a Class of Infinite-Dimensional Singular Stochastic Control Problems


Authors: Salvatore Federico, Giorgio Ferrari, Frank Riedel, Michael Röckner Projects: B1, C3, C4
Submission Date: 26.04.2019 Submitter: Herbert Dawid
Download: PDF Link: 19014

19011 Tolulope Rhoda Fadina, Thorsten Schmidt PDF

Default Ambiguity

Project: C3

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Default Ambiguity


Authors: Tolulope Rhoda Fadina, Thorsten Schmidt Projects: C3
Submission Date: 10.04.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19011

19010 Julian Hölzermann, Qian Lin PDF

Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion

Project: C3

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Term Structure Modeling under Volatility Uncertainty: A Forward Rate Model driven by G-Brownian Motion


Authors: Julian Hölzermann, Qian Lin Projects: C3
Submission Date: 08.04.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19010

19003 Lazar Obradovic PDF

Locally Constant Model Uncertainty Risk

Project: C3

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Locally Constant Model Uncertainty Risk


Authors: Lazar Obradovic Projects: C3
Submission Date: 12.02.2019 Submitter: Giorgio Ferrari
Download: PDF Link: 19003

18057 Miryana Grigorova, Marie-Claire Quenez, Agnès Sulem PDF

Superhedging prices of European and American options in a non-linear incomplete market with default

Project: C3

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Superhedging prices of European and American options in a non-linear incomplete market with default


Authors: Miryana Grigorova, Marie-Claire Quenez, Agnès Sulem Projects: C3
Submission Date: 30.11.2018 Submitter: Giorgio Ferrari
Download: PDF Link: 18057

18051 Hanwu Li PDF

Optimal Stopping under G-expectation

Project: C3

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Optimal Stopping under G-expectation


Authors: Hanwu Li Projects: C3
Submission Date: 06.11.2018 Submitter: Giorgio Ferrari
Download: PDF Link: 18051

18047 Julian Hölzermann PDF

Bond Pricing under Knightian Uncertainty: A Short Rate Model with Drift and Volatility Uncertainty

Project: C3

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Bond Pricing under Knightian Uncertainty: A Short Rate Model with Drift and Volatility Uncertainty


Authors: Julian Hölzermann Projects: C3
Submission Date: 28.09.2018 Submitter: Giorgio Ferrari
Download: PDF Link: 18047

18021 Jan-Henrik Steg PDF

Preemptive Investment under Uncertainty

Project: C3

Published: Games and Economic Behavior 110 (2018), 90-119

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Preemptive Investment under Uncertainty


Authors: Jan-Henrik Steg Projects: C3
Submission Date: 25.06.2018 Submitter: Frank Riedel
Download: PDF Link: 18021
Published: Games and Economic Behavior 110 (2018), 90-119

17035 Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez PDF

Optimal Stopping with $f$-Expectations: the Irregular Case

Project: C3

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Optimal Stopping with $f$-Expectations: the Irregular Case


Authors: Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez Projects: C3
Submission Date: 06.12.2017 Submitter: Giorgio Ferrari
Download: PDF Link: 17035



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