Efficient and equilibrium allocations with stochastic differential utility

Darrell Duffie; Pierre Yves Geoffard; Costis Skiadas

doi:10.1016/0304-4068(94)90002-7

Efficient and equilibrium allocations with stochastic differential utility

Darrell Duffie^*, Pierre Yves Geoffard, Costis Skiadas

^*Corresponding author for this work

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28 Scopus citations

Abstract

This paper presents results on the existence and characterization of Pareto efficient and of equilibrium allocations in a continuous-time setting under uncertainty in which agents have stochastic differential utility, a version of recursive utility. In order to characterize equilibrium and efficient allocations in terms of pointwise first-order conditions, uniform properness conditions on preferences are avoided.

Original language	English (US)
Pages (from-to)	133-146
Number of pages	14
Journal	Journal of Mathematical Economics
Volume	23
Issue number	2
DOIs	https://doi.org/10.1016/0304-4068(94)90002-7
State	Published - Mar 1994

Funding

Correspondence to: Darrell Duffe, Graduate School of Business, Stanford University, Stanford, CA 94305, USA. *DuIlie acknowledges the support of the National Science Foundation under NSF SES 90-10062. We are grateful for discussions with Rose-Anne Dana and David Luenberger.

Keywords

Continuous time
Efficient allocation
Pareto efficient allocation
Stochastic differential utility

ASJC Scopus subject areas

Economics and Econometrics
Applied Mathematics

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10.1016/0304-4068(94)90002-7

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title = "Efficient and equilibrium allocations with stochastic differential utility",

abstract = "This paper presents results on the existence and characterization of Pareto efficient and of equilibrium allocations in a continuous-time setting under uncertainty in which agents have stochastic differential utility, a version of recursive utility. In order to characterize equilibrium and efficient allocations in terms of pointwise first-order conditions, uniform properness conditions on preferences are avoided.",

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author = "Darrell Duffie and Geoffard, {Pierre Yves} and Costis Skiadas",

note = "Funding Information: Correspondence to: Darrell Duffe, Graduate School of Business, Stanford University, Stanford, CA 94305, USA. *DuIlie acknowledges the support of the National Science Foundation under NSF SES 90-10062. We are grateful for discussions with Rose-Anne Dana and David Luenberger.",

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AU - Geoffard, Pierre Yves

AU - Skiadas, Costis

N1 - Funding Information: Correspondence to: Darrell Duffe, Graduate School of Business, Stanford University, Stanford, CA 94305, USA. *DuIlie acknowledges the support of the National Science Foundation under NSF SES 90-10062. We are grateful for discussions with Rose-Anne Dana and David Luenberger.

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Y1 - 1994/3

N2 - This paper presents results on the existence and characterization of Pareto efficient and of equilibrium allocations in a continuous-time setting under uncertainty in which agents have stochastic differential utility, a version of recursive utility. In order to characterize equilibrium and efficient allocations in terms of pointwise first-order conditions, uniform properness conditions on preferences are avoided.

AB - This paper presents results on the existence and characterization of Pareto efficient and of equilibrium allocations in a continuous-time setting under uncertainty in which agents have stochastic differential utility, a version of recursive utility. In order to characterize equilibrium and efficient allocations in terms of pointwise first-order conditions, uniform properness conditions on preferences are avoided.

KW - Continuous time

KW - Efficient allocation

KW - Pareto efficient allocation

KW - Stochastic differential utility

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ER -

Efficient and equilibrium allocations with stochastic differential utility

Abstract

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Keywords

ASJC Scopus subject areas

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