Unique solutions for stochastic recursive utilities

• 成果类型: Article
• 署名作者: Marinacci, Massimo; Montrucchio, Luigi
• 署名单位: Bocconi University; University of Turin; University of Turin; Collegio Carlo Alberto
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.02.005
• 发表日期: 2010
• 页码: 1776-1804
• 关键词: Recursive utilities; Koopmans equations; Stochastic recursive utilities

摘要

We study unique and globally attracting solutions of a general nonlinear stochastic equation, widely used in Finance and Macroeconomics and closely related to stochastic Koopmans equations. The equation is specified by a temporal aggregator W and a certainty equivalent operator M. The main contribution of the paper is the introduction of the new class of Thompson aggregators. Other contributions of the paper are: (i) a detailed analysis of quasi-arithmetic operators M that generalize those of Kreps and Porteus (1978) [18]; (ii) a clarification of the nature and properties of the stochastic recursive preferences that underlie Koopmans equations. (C) 2010 Elsevier Inc. All rights reserved.