Unique solutions for stochastic recursive utilities

From MaRDI portal
Publication:1958954

DOI10.1016/j.jet.2010.02.005zbMath1244.91036OpenAlexW2086649061MaRDI QIDQ1958954

Massimo Marinacci, Luigi Montrucchio

Publication date: 30 September 2010

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2010.02.005




Related Items

Dynamic Programming Deconstructed: Transformations of the Bellman Equation and Computational EfficiencyExistence and uniqueness of recursive utilities without boundednessReference points and learningDynamic programming with value convexitySingular recursive utilityRecursive utility and parameter uncertaintyTime-consistent equilibria in dynamic models with recursive payoffs and behavioral discountingStochastic differential utility as the continuous-time limit of recursive utilityMarkov perfect equilibria in OLG models with risk sensitive agentsUnique Tarski Fixed PointsAn approximation approach to dynamic programming with unbounded returnsAsset pricing with time preference shocks: existence and uniquenessConvex dynamic programming with (bounded) recursive utilityEquilibrium in production chains with multiple upstream partnersNumerical solution of dynamic quantile modelsAsset prices in an ambiguous economyOn recursive utilities with non-affine aggregator and conditional certainty equivalentIncomplete market dynamics and cross-sectional distributionsOn variable discounting in dynamic programming: applications to resource extraction and other economic modelsAdvances in growth and macroeconomic dynamics: \textit{in memory of Carine Nourry}Thompson aggregators, Scott continuous koopmans operators, and least fixed point theoryOptimal consumption and investment with Epstein-Zin recursive utilityDynamic programming with state-dependent discountingTime consistent Markov policies in dynamic economies with quasi-hyperbolic consumersA new preference model that allows for narrow framingRecursive smooth ambiguity preferencesAmbiguity aversion and wealth effectsOn temporal aggregators and dynamic programming



Cites Work