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Efficient and equilibria allocations with stochastic differential utility
Journal of Mathematical Economics
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.
Pareto efficient allocation, Efficient allocation, Continuous time, Stochastic differential utility
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