Existence and uniqueness of recursive utilities without boundedness

Timothy M. Christensen

    Research output: Contribution to journalArticlepeer-review


    This paper derives primitive, easily verifiable sufficient conditions for existence and uniqueness of (stochastic) recursive utilities for several important classes of preferences. In order to accommodate models commonly used in practice, we allow both the state space and per-period utilities to be unbounded. For many of the models we study, existence and uniqueness is established under a single, primitive “thin tail” condition on the distribution of growth in per-period utilities. We present several applications to robust preferences, models of ambiguity aversion and learning about hidden states, and Epstein–Zin preferences.

    Original languageEnglish (US)
    Article number105413
    JournalJournal of Economic Theory
    StatePublished - Mar 2022


    • Ambiguity
    • Existence
    • Model uncertainty
    • Stochastic recursive utility
    • Uniqueness

    ASJC Scopus subject areas

    • Economics and Econometrics


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