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


Principal Investigator(s)
Frank Riedel
Visitor(s)
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.


Recent Preprints:

20094 Giorgio Ferrari, Hanwu Li, Frank Riedel PDF

Optimal Consumption with Intertemporal Substitution under Knightian Uncertainty

Project: C3, C4

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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

20036 Giorgio Ferrari, Hanwu Li, Frank Riedel PDF

A knightian irreversible investment problem

Project: C3, C4

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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

20028 Julian Hölzermann PDF

Pricing interest rate derivatives under volatility uncertainty

Project: C3

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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

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

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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

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

To appear: Stochastic Processes and their Applications (2020)

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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
To appear: Stochastic Processes and their Applications (2020)

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

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



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