Efficient and equilibria allocations with stochastic differential utility
Details
Serval ID
serval:BIB_CAF0EDFCB3DE
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Efficient and equilibria allocations with stochastic differential utility
Journal
Journal of Mathematical Economics
Publication state
Published
Issued date
1994
Volume
23
Number
1
Pages
133-146
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.
Keywords
Pareto efficient allocation, Efficient allocation, Continuous time, Stochastic differential utility
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Create date
19/11/2007 11:48
Last modification date
20/08/2019 16:45