Efficient and equilibrium allocations with stochastic differential utility

DOI10.1016/0304-4068(94)90002-7zbMath0804.90018OpenAlexW2161924712MaRDI QIDQ1322710

Pierre-Yves Geoffard, J. Darrell Duffie, Costis Skiadas

Publication date: 5 May 1994

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4068(94)90002-7

zbMATH Keywords

recursive utilitystochastic differential utilityPareto efficient allocationcontinuous-time setting under uncertainty

Mathematics Subject Classification ID

Utility theory (91B16) General equilibrium theory (91B50)

Related Items (16)

Optimal risk-sharing with effort and project choice ⋮ Asset and commodity prices with multi-attribute durable goods ⋮ Solution of forward-backward stochastic differential equations ⋮ Forward–backward stochastic differential equations with delay generators ⋮ Controlled mean-field backward stochastic differential equations with jumps involving the value function ⋮ Optimal consumption and portfolio selection with stochastic differential utility ⋮ Recursive allocations and wealth distribution with multiple goods: Existence, survivorship, and dynamics ⋮ Contracting Theory with Competitive Interacting Agents ⋮ Optimal contracts in continuous-time models ⋮ Stochastic optimization theory of backward stochastic differential equations driven by G-Brownian motion ⋮ Brownian equilibria under Knightian uncertainty ⋮ LINKED RECURSIVE PREFERENCES AND OPTIMALITY ⋮ Backward stochastic optimal control with mixed deterministic controller and random controller and its applications in linear-quadratic control ⋮ Numerical methods for forward-backward stochastic differential equations ⋮ Efficient intertemporal allocations with recursive utility. ⋮ The dynamics of risk-sensitive allocations

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