On Non-Negative Recursive Utilities in Dynamic Programming with Nonlinear Aggregator and CES
Posted: 17 Dec 2015
Date Written: December 15, 2015
Abstract
I study uniqueness and global attracting property of the recursive utility under uncertainty related to Epstein and Zin equations. The equation is specifed by a temporal aggregator which satisfies different conditions then Marinacci and Montrucchio, Le Van and Vailakis and Jaskiewicz, Matkowski and Nowak and non-linear Certainty Equivalent Substitution (CES for short). I study properties of truncation error, operating on a solid normal cone of function space. The main results are applied to the theory of optimal economic growth related with resource extraction game and can be applicable in other economic models.
Keywords: Recursive utilities; Koopmans equations; Epstein Zin preferences; Certainty Equivalent Substitution
JEL Classification: C72, C73
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