Recursive utility and optimal growth with bounded or unbounded returns

Cuong Le Van () and Yiannis Vailakis ()
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Cuong Le Van: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique
Yiannis Vailakis: UCL IRES - Institut de recherches économiques et sociales - UCL - Université Catholique de Louvain = Catholic University of Louvain

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Abstract: In this paper, we propose a unifying approach to the study of recursive economic problems. Postulating an aggregator function as the fundamental expression of tastes, we explore conditions under which a utility function can be constructed. We also modify the usual dynamic programming arguments to include this class of models. We show that Bellman's equation still holds, so many results known for the additively separable case can be generalized for this general description of preferences. Our approach is general, allowing for both bounded and unbounded returns. Many recursive economic models studied in the literature are particular cases of our setting.

Keywords: Recursive utility; dynamic programming; Bellman equation; unbounded returns (search for similar items in EconPapers)
Date: 2005-08
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Citations: View citations in EconPapers (39)

Published in Journal of Economic Theory, 2005, 123 (2), pp.187-209. ⟨10.1016/j.jet.2004.06.007⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00101201

DOI: 10.1016/j.jet.2004.06.007

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