Research Details

Abstract

This paper shows that a finite-horizon version of the robust control criterion appearing in recent papers by Hansen, Sargent, and their coauthors can be described as recursive utility, which in continuous time takes the form of the Stochastic Differential Utility (SDU) of Duffie and Epstein (1992). While it has previously been noted that Bellman equations arising in robust control settings are of the same form as Bellman equations arising from SDU maximization, here this connection is shown directly without reference to any underlying dynamics, or Markov structure.

Type

Article

Author(s)

Date Published

2003

Citations

. 2003. Robust Control and Recursive Utility. Finance and Stochastics.(4): 475-489.