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Efficient and equilibrium allocations with stochastic differential utility. (English) Zbl 0804.90018
Summary: 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 condition on preferences are avoided.

MSC:
91B16 Utility theory
91B50 General equilibrium theory
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