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Existence and uniqueness of recursive utilities without boundedness

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. Green open access

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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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