TY - JOUR
T1 - Efficient and equilibrium allocations with stochastic differential utility
AU - Duffie, Darrell
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.
PY - 1994/3
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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U2 - 10.1016/0304-4068(94)90002-7
DO - 10.1016/0304-4068(94)90002-7
M3 - Article
AN - SCOPUS:38149144529
VL - 23
SP - 133
EP - 146
JO - Journal of Mathematical Economics
JF - Journal of Mathematical Economics
SN - 0304-4068
IS - 2
ER -