Existence and uniqueness of recursive utilities without boundedness

• 成果类型: Article
• 署名作者: Christensen, Timothy M.
• 署名单位: New York University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2022.105413
• 发表日期: 2022
• 关键词: Stochastic recursive utility; ambiguity; model uncertainty; EXISTENCE; uniqueness

摘要

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.(c) 2022 Elsevier Inc. All rights reserved.