This paper generalizes the utility with a robust control criterion, developed
by Hansen, Sargent, and Tallarini [14], Anderson, Hansen, and Sargent [2],
and Skiadas [27], to a recursive one under non-Markovian jump-diffusion information,
and presents the existence and uniqueness of the generalized utility under
some regualrity condition by utilizing approaches of Skiadas [27] and Schroder and
Skiadas [25]. This paper also shows that the generalized utility admits a normalized
representation, where future utility enters the recursion through an aggregator, and
examines the generalized utility’s basic properties including “ambiguity aversions.”
JEL No. C62, D81, D91.
A Robust Recursive Utility under Jump-Diffusion Information
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