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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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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) Downloads
Working Paper: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2019) Downloads
Working Paper: Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities (2018) Downloads
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