Generalized stochastic differential utility and preference for information

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dc.creatorLazrak, Ali
dc.date2005-03-25
dc.date.accessioned2026-07-07T12:11:12Z
dc.date.available2026-07-07T12:11:12Z
dc.descriptionThis paper develops, in a Brownian information setting, an approach for analyzing the preference for information, a question that motivates the stochastic differential utility (SDU) due to Duffie and Epstein [Econometrica 60 (1992) 353-394]. For a class of backward stochastic differential equations (BSDEs) including the generalized SDU [Lazrak and Quenez Math. Oper. Res. 28 (2003) 154-180], we formulate the information neutrality property as an invariance principle when the filtration is coarser (or finer) and characterize it. We also provide concrete examples of heterogeneity in information that illustrate explicitly the nonneutrality property for some GSDUs. Our results suggest that, within the GSDUs class of intertemporal utilities, risk aversion or ambiguity aversion are inflexibly linked to the preference for information.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051604000000756 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0503579
dc.identifierhttp://arxiv.org/abs/math/0503579
dc.identifierAnnals of Applied Probability 2004, Vol. 14, No. 4, 2149-2175
dc.identifierdoi:10.1214/105051604000000756
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210150
dc.subjectProbability
dc.subjectPricing of Securities
dc.subject60H10, 60H30. (Primary)
dc.titleGeneralized stochastic differential utility and preference for information
dc.typetext

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