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 | |
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