stochastic differential formulation of intertemporal recursive utility. The present class of utility functionals is generated by … a backward stochastic differential equation and incorporates preference for the local risk of the stochastic utility …

We study Arrow-Debreu equilibria for a one-period-two-date pure exchange economy with rank-dependent utility agents … having heterogeneous probability weighting and outcome utility functions. In particular, we allow the economy to have a mix … of expected utility agents and rank-dependent utility ones, with non-convex probability weighting functions. The standard …

We provide conditions on a one-period-two-date pure exchange economy with rank-dependent utility agents under which …