Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
Jaroslav Borovička () and
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We study existence, uniqueness and computability 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 of solutions. We also show that the natural iterative algorithm is convergent if and only if a solution exists. Consumption processes are allowed to be nonstationary.
New Economics Papers: this item is included in nep-cta, nep-mic and nep-upt
Date: 2017-10, Revised 2017-12
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Working Paper: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2018)
Working Paper: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1710.06526
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