Highly Influenced

8 Excerpts

@inproceedings{Antonelli2002OnTV, title={On the viscosity solutions of a stochastic differential utility problem}, author={Fabio Antonelli and Andrea Pascucci}, year={2002} }

- Published 2002
DOI:10.1016/S0022-0396(02)00026-8

We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for the following equation in R: @xxu þ u@yu @tu 1⁄4 f ð ; uÞ; where f is Lipschitz continuous. We also characterize the solution in the vanishing viscosity sense. r 2002 Elsevier Science (USA). All rights reserved.