Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities / Jaroslav Borovička, John Stachurski.

Format:

Book

Author/Creator:

Borovička, Jaroslav.

Contributor:

National Bureau of Economic Research.

Stachurski, John.

Series:

Working Paper Series (National Bureau of Economic Research) no. w24162.

NBER working paper series no. w24162

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2017.

Summary:

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.

Notes:

Print version record

December 2017.