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This paper develops, in a Brownian information setting, an approach foranalyzing the preference for information, a question that motivates thestochastic differential utility (SDU) due to Duffie and Epstein [Econometrica60 (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 aninvariance principle when the filtration is coarser (or finer) and characterizeit. We also provide concrete examples of heterogeneity in information thatillustrate explicitly the nonneutrality property for some GSDUs. Our resultssuggest that, within the GSDUs class of intertemporal utilities, risk aversionor ambiguity aversion are inflexibly linked to the preference for information.

Generalized stochastic differential utility and preference for information