Unique solutions for stochastic recursive utilities

Massimo Marinacci and Luigi Montrucchio

Journal of Economic Theory, 2010, vol. 145, issue 5, 1776-1804

Abstract: 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 . 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 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.

Keywords: Recursive; utilities; Koopmans; equations; Stochastic; recursive; utilities (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (69)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jetheo:v:145:y:2010:i:5:p:1776-1804

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