Three essays in the study recursive utility are presented. The first is an exposition of the extant recursive utility literature. A correspondence is drawn between the discrete time axioms for recursive utility in Koopmans (1960) and the continuous time framework in Epstein (1987b). The second essay investigates the method for endogenizing the rate of time preference given in Uzawa (1968). It is shown that when applied to non-autonomous systems, the Uzawa transformation generates errors in first order conditions. We provide a simple method for extending the Uzawa transformation to non-autonomous systems. These results are applied to two stochastic optimal control problems in the third essay. In the first problem a consumer optimally allocates consumption of a given cake whose size is unknown. With an endogenous rate of time preference, it is shown that the consumption profile may be increasing monotonic under a given set of assumptions. The second problem incorporates an endogenous rate of time preference into a stochastic optimal growth model.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.61285 |
| Date | January 1992 |
| Creators | Francis, Johanna Leigh, 1970- |
| Publisher | McGill University |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Format | application/pdf |
| Coverage | Master of Arts (Department of Economics.) |
| Rights | All items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated. |
| Relation | alephsysno: 001314206, proquestno: AAIMM80284, Theses scanned by UMI/ProQuest. |
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