Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities
复制标题
递归效用存在唯一性的充要条件
作者：
J. Borovicka;J. Stachurski
研究了一类离散时间递归效用模型解的存在唯一性和可计算性。通过结合两个流最近的文献递归偏好-一个是分析主特征值的估值算子和另一个是利用单调凹算子的理论-我们得到的条件是必要的和充分的存在性和唯一性的解决方案。我们还证明了自然迭代算法是收敛的，当且仅当一个解决方案存在。允许消费过程是非平稳的。
We study existence, uniqueness and computability 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 of solutions. We also show that the natural iterative algorithm is convergent if and only if a solution exists. Consumption processes are allowed to be nonstationary.