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Erscheinungsjahr: 
2024
Schriftenreihe/Nr.: 
Center for Mathematical Economics Working Papers No. 693
Verlag: 
Bielefeld University, Center for Mathematical Economics (IMW), Bielefeld
Zusammenfassung: 
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 consumption problem, proving the existence and uniqueness of the optimal consumption plan. We present an infinite-dimensional version of the Kuhn-Tucker theorem, which provides the necessary and sufficient conditions for optimality. Additionally, we investigate quantitative properties and the construction of the optimal consumption plan. Finally, we offer a detailed description of the structure of optimal consumption within a geometric Poisson framework.
Schlagwörter: 
recursive utility
intertemporal substitution
Hindy-Huang-Kreps preferences
backward stochastic differential equation with jumps
Poisson processes
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