Efficient Intertemporal Allocations with Recursive Utility
研究多主体经济中具有递归效用函数的有效配置问题，证明可通过单一社会规划者的价值函数来刻画，而非每个投资者一个价值函数，并展示如何用随机动态规划识别该函数。
In this article, our objective is to determine efficient allocations in economies with multiple agents having recursive utility functions. Our main result is to show that in a multiagent economy, the problem of determining efficient allocations can be characterized in terms of a single value function (that of a social planner), rather than multiple value functions (one for each investor), as has been proposed thus far. We then show how this value function can be identified using the familiar technique of stochastic dynamic programming. We achieve these goals by first extending to a stochastic environment Geoffard's (1996) concept of variational utility and his result that variational utility is equivalent to recursive utility, and then using these results to characterize allocations in a multiagent setting.