We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.

We investigate the utility of explanation-based learning in recursive domain theories and examine the cost of using macro-rules in these theories. The compilation options in a recursive domain theory range from constructing partial unwindings of the recursive rules to converting recursive rules into iterative ones. We compare these options against using appropriately ordered rules in the origin...

Many separable dynamic incentive problems have primal recursive formulations in which utility promises serve as state variables. We associate families of dual recursive problems with these by selectively dualizing constraints. We make transparent the connections between recursive primal and dual approaches, relate value iteration under each and give conditions for such value iteration to be con...

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Though risk aversion and the elasticity of intertemporal substitution have been the subjects of careful scrutiny, the long-run risks literature as well as the broader literature using recursive utility to address asset pricing puzzles has ignored the full implications of their parameter specifications. Recursive utility implies that the temporal resolution of risk matters and a quantitative ass...

The inability of the Bayesian model to accommodate Ellsberg-type behavior is well-known. This paper focuses on another limitation of the Bayesian model, specific to a dynamic setting, namely the inability to permit a distinction between experiments that are identical and those that are only indistinguishable. It is shown that such a distinction is afforded by recursive multiple-priors utility. ...

One of the assumptions of recursive multiple-priors utility (Epstein and Schneider, J. Econ. Theory, 113(1) (2003), 1-31) is that conditional preferences at every node satisfy an intertemporal version of the multiple-priors axioms (Gilboa and Schmeidler, J. Math. Econ., 18(2) (1989) 141-153). This note weakens this assumption: Given that conditional preferences depend only on the continuations ...