An existence theorem of intertemporal recursive utility in the presence of Lévy jumps (Q1592523): Difference between revisions

After an introduction the assumed information structure is presented in section 2. There are two independent sources of uncertainty: a standard Brownian motion and a Lévy jump process; the motion of the state process follows a stochastic differential-difference equation. The continuous time Koopmans equation is introduced in section 3. Examples are expected discounted utility, Kreps-Portens utility, betweenness utility. Section 4 gives the existence theorem for the continuous time Koopmans equation. The theorem can also be used to prove the existence of an equilibrium asset price process.