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We consider a generalization of the recursive utility model by adding a new component that represents utility of investment gains and losses. We also study the utility process in this generalized model with constant elasticity of…

The aim of our paper is to formulate and solve problems concerning multitime multiple recurrence equations. We discuss in detail the generic properties and the existence and uniqueness of solutions. Among the general things, we discuss in…

Recursive preferences, of the sort developed by Epstein and Zin (1989), play an integral role in modern macroeconomics and asset pricing theory. Unfortunately, it is non-trivial to establish the unique existence of a solution to recursive…

We consider a class of finite Markov moment problems with arbitrary number of positive and negative branches. We show criteria for the existence and uniqueness of solutions, and we characterize in detail the non-unique solution families.…

We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition…

The necessary conditions for an optimal control of a stochastic control problem with recursive utilities is investigated. The first order condition is the the well-known Pontryagin type maximum principle. When the optimal control satisfying…

Monotonicity and recursivity are central assumptions in intertemporal consumption problems under ambiguity. We show that monotone recursive preferences admit both a recursive and an ex-ante representation, and that the certainty equivalent…

We introduce the concept of singular recursive utility. This leads to a kind of singular BSDE which, to the best of our knowledge, has not been studied before. We show conditions for existence and uniqueness of a solution for this kind of…

We propose new results for the existence and uniqueness of a general nonparametric and nonseparable competitive equilibrium with substitutes. These results ensure the invertibility of a general competitive system. The existing literature…

We present a theory of backward stochastic differential equations in continuous time with an arbitrary filtered probability space. No assumptions are made regarding the left continuity of the filtration, of the predictable quadratic…

Algorithms for computing equilibria, optima, and fixed points in nonconvex problems often depend sensitively on practitioner-chosen initial conditions. When uniqueness of a solution is of interest, a common heuristic is to run such…

We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…

We examine the convergence properties of sequences of nonnegative real numbers that satisfy a particular class of recursive inequalities, from the perspective of proof theory and computability theory. We first establish a number of results…

We study preferences estimated from finite choice experiments and provide sufficient conditions for convergence to a unique underlying "true" preference. Our conditions are weak, and therefore valid in a wide range of economic environments.…

We explore intertemporal preferences that are recursive and account for local intertemporal substitution. First, we establish a rigorous foundation for these preferences and analyze their properties. Next, we examine the associated optimal…

Recent computational experiments have demonstrated the spontaneous emergence of self-replicating programs across universal automata, artificial chemistries, and self-modifying code systems. Remarkably, these results arise without explicit…

This paper concerns the recursive utility maximization problem. We assume that the coefficients of the wealth equation and the recursive utility are concave. Then some interesting and important cases with nonlinear and nonsmooth…

An overview of the recursive equations based models and their applications in simulation based analysis and optimization of queueing systems is given. These models provide a variety of systems with a convenient and unified representation in…

The multitime multiple recurrences are common in analysis of algorithms, computational biology, information theory, queueing theory, filters theory, statistical physics etc. The theoretical part about them is little or not known. That is…

In random expected utility (Gul and Pesendorfer, 2006), the distribution of preferences is uniquely recoverable from random choice. This paper shows through two examples that such uniqueness fails in general if risk preferences are random…