EFFICIENT AND EQUILIBRIUM ALLOCATIONS WITH STOCHASTIC DIFFERENTIAL UTILITY

被引：25

作者：

DUFFIE, D ^{[1
]}

GEOFFARD, PY ^{[1
]}

SKIADAS, C ^{[1
]}

机构：

[1] NORTHWESTERN UNIV,EVANSTON,IL 60201

来源：

JOURNAL OF MATHEMATICAL ECONOMICS | 1994年 / 23卷 / 02期

基金：

美国国家科学基金会;

关键词：

PARETO-EFFICIENT ALLOCATION; EFFICIENT ALLOCATION; CONTINUOUS TIME; STOCHASTIC DIFFERENTIAL UTILITY;

D O I：

10.1016/0304-4068(94)90002-7

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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.

引用

页码：133 / 146

页数：14

共 31 条

[1]

ANTONELLI F, 1991, ANN APPLIED PROBABIL, V3, P777

[2] EQUILIBRIUM WITHOUT UNIFORM CONDITIONS [J].