期刊
JOURNAL OF ECONOMIC THEORY
卷 145, 期 5, 页码 1776-1804出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jet.2010.02.005
关键词
Recursive utilities; Koopmans equations; Stochastic recursive utilities
类别
We study unique and globally attracting solutions of a general nonlinear stochastic equation, widely used in Finance and Macroeconomics and closely related to stochastic Koopmans equations. The equation is specified by a temporal aggregator W and a certainty equivalent operator M. The main contribution of the paper is the introduction of the new class of Thompson aggregators. Other contributions of the paper are: (i) a detailed analysis of quasi-arithmetic operators M that generalize those of Kreps and Porteus (1978) [18]; (ii) a clarification of the nature and properties of the stochastic recursive preferences that underlie Koopmans equations. (C) 2010 Elsevier Inc. All rights reserved.
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