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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:

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:
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:
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:
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:
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:
Download: PDF Link: 17035

17034 Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez PDF

Doubly Reflected BSDEs and $\mathcal{E}^f$-Dynkin Games: Beyond the Right-continuous Case

Project: C3

To appear: Electronic Journal of Probability (2018)

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Doubly Reflected BSDEs and $\mathcal{E}^f$-Dynkin Games: Beyond the Right-continuous Case


Authors: Miryana Grigorova, Peter Imkeller, Youssef Ouknine, Marie-Claire Quenez Projects: C3
Submission Date: 06.12.2017 Submitter:
Download: PDF Link: 17034
To appear: Electronic Journal of Probability (2018)

17031 Patrick Beißner, Qian Lin, Frank Riedel PDF

Dynamically Consistent $\alpha$-Maxmin Expected Utility

Project: C3

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Dynamically Consistent $\alpha$-Maxmin Expected Utility


Authors: Patrick Beißner, Qian Lin, Frank Riedel Projects: C3
Submission Date: 01.12.2017 Submitter:
Download: PDF Link: 17031

17019 Hanwu Li, Shige Peng, Abdoulaye Soumana Hima PDF

Reflected Solutions of BSDEs Driven by $G$-Brownian Motion

Project: C3

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Reflected Solutions of BSDEs Driven by $G$-Brownian Motion


Authors: Hanwu Li, Shige Peng, Abdoulaye Soumana Hima Projects: C3
Submission Date: 22.09.2017 Submitter:
Download: PDF Link: 17019



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