eprintid: 10152942
rev_number: 9
eprint_status: archive
userid: 699
dir: disk0/10/15/29/42
datestamp: 2022-08-01 13:34:06
lastmod: 2023-08-10 09:05:16
status_changed: 2022-08-01 13:34:06
type: article
metadata_visibility: show
sword_depositor: 699
creators_name: Christensen, Timothy M
title: Existence and uniqueness of recursive utilities without boundedness
ispublished: pub
divisions: C03
divisions: F24
divisions: B03
divisions: UCL
keywords: Stochastic recursive utility, Ambiguity, Model uncertainty, Existence, Uniqueness
note: This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions.
abstract: This paper derives primitive, easily verifiable sufficient conditions for existence and uniqueness of (stochastic) recursive utilities for several important classes of preferences. In order to accommodate models commonly used in practice, we allow both the state space and per-period utilities to be unbounded. For many of the models we study, existence and uniqueness is established under a single, primitive “thin tail” condition on the distribution of growth in per-period utilities. We present several applications to robust preferences, models of ambiguity aversion and learning about hidden states, and Epstein–Zin preferences.
date: 2022-03
date_type: published
publisher: Elsevier BV
official_url: https://doi.org/10.1016/j.jet.2022.105413
oa_status: green
full_text_type: other
language: eng
primo: open
primo_central: open_green
verified: verified_manual
elements_id: 1967599
doi: 10.1016/j.jet.2022.105413
lyricists_name: Christensen, Timothy
lyricists_id: TMCHR37
actors_name: Christensen, Timothy
actors_id: TMCHR37
actors_role: owner
full_text_status: public
publication: Journal of Economic Theory
volume: 200
article_number: 105413
issn: 0022-0531
citation:        Christensen, Timothy M;      (2022)    Existence and uniqueness of recursive utilities without boundedness.                   Journal of Economic Theory , 200     , Article 105413.  10.1016/j.jet.2022.105413 <https://doi.org/10.1016/j.jet.2022.105413>.       Green open access   
 
document_url: https://discovery.ucl.ac.uk/id/eprint/10152942/1/fp20220114.pdf