We prove existence, uniqueness and gradient estimates of stochastic differential utility as a solution of the Cauchy problem for degenerate nonlinear partial differential equation. We also characterize the solution in the vanishing viscosity sense.Viscosity solution, Burgers' equation, Stochastic differential utility

Andrea Pascucci

Fabio Antonelli

English

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http://128.118.178.162/eps/fin/papers/0503/0503021.pdf

On the viscosity solutions of a stochastic differential utility problem

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Research Papers in Economics