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arXiv · 1710.06526

Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities

Jaroslav Borovicka·John Stachurski
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Abstract

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.

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BibTeXRIS

Jaroslav Borovicka, John Stachurski. 2017-10-17. Necessary and Sufficient Conditions for Existence and Uniqueness of Recursive Utilities. https://arxiv.org/abs/1710.06526

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