@article{84832e8ddd93482091fdf38a520fa489,
title = "Existence and uniqueness of recursive utilities without boundedness",
abstract = "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.",
keywords = "Ambiguity, Existence, Model uncertainty, Stochastic recursive utility, Uniqueness",
author = "Christensen, {Timothy M.}",
note = "Funding Information: This paper is a revised version of the preprint arXiv:1812.11246 which was posted to arXiv in December 2018. I thank J. Borovi{\v c}ka, L. Hansen, T. Sargent, and participants of the “Blue Collar Working Group” at the University of Chicago, and several seminar audiences for helpful comments. This material is based upon work supported by the National Science Foundation under Grant No. SES-1919034 . Funding Information: This paper is a revised version of the preprint arXiv:1812.11246 which was posted to arXiv in December 2018. I thank J. Borovi?ka, L. Hansen, T. Sargent, and participants of the ?Blue Collar Working Group? at the University of Chicago, and several seminar audiences for helpful comments. This material is based upon work supported by the National Science Foundation under Grant No. SES-1919034. Publisher Copyright: {\textcopyright} 2022 Elsevier Inc.",
year = "2022",
month = mar,
doi = "10.1016/j.jet.2022.105413",
language = "English (US)",
volume = "200",
journal = "Journal of Economic Theory",
issn = "0022-0531",
publisher = "Academic Press Inc.",
}