Unique solutions for stochastic recursive utilities
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.
Year of publication: |
2010
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Authors: | Marinacci, Massimo ; Montrucchio, Luigi |
Published in: |
Journal of Economic Theory. - Elsevier, ISSN 0022-0531. - Vol. 145.2010, 5, p. 1776-1804
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Publisher: |
Elsevier |
Keywords: | Recursive utilities Koopmans equations Stochastic recursive utilities |
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