Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities

Jaroslav Borovička and John Stachurski ()

No 24162, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: We study existence, uniqueness and stability of solutions for a class of discrete time recursive utilities models. By combining two streams of the recent literature on recursive preferences - one that analyzes principal eigenvalues of valuation operators and another that exploits the theory of monotone concave operators - we obtain conditions that are both necessary and sufficient for existence and uniqueness. We also show that the natural iterative algorithm is convergent if and only if a solution exists. Consumption processes are allowed to be nonstationary.

JEL-codes: D81 G11 (search for similar items in EconPapers)
Date: 2017-12
New Economics Papers: this item is included in nep-mic and nep-upt
Note: AP
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Citations: View citations in EconPapers (6)

Published as JAROSLAV BOROVIČKA & JOHN STACHURSKI, 2020. "Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities," The Journal of Finance, vol 75(3), pages 1457-1493.

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Related works:
Journal Article: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2020)
Working Paper: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2019)
Working Paper: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2018)
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