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.
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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.
| Type: | Article |
|---|---|
| Title: | Existence and uniqueness of recursive utilities without boundedness |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.jet.2022.105413 |
| Publisher version: | https://doi.org/10.1016/j.jet.2022.105413 |
| Language: | English |
| Additional information: | This version is the author accepted manuscript. For information on re-use, please refer to the publisher’s terms and conditions. |
| Keywords: | Stochastic recursive utility, Ambiguity, Model uncertainty, Existence, Uniqueness |
| UCL classification: | UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS UCL > Provost and Vice Provost Offices > UCL SLASH > Faculty of S&HS > Dept of Economics UCL > Provost and Vice Provost Offices > UCL SLASH UCL |
| URI: | https://discovery.ucl.ac.uk/id/eprint/10152942 |
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