Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities

Jaroslav Borovička and John Stachurski
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John Stachurski: Research School of Economics

No 1275, 2018 Meeting Papers from Society for Economic Dynamics

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.

Date: 2018
New Economics Papers: this item is included in nep-dge and nep-upt
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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 (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed018:1275

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