In this article, our objective is to determine efficient allocations in eco
nomies with multiple agents having recursive, non-time-additive utility fun
ctions. Our main result is to show that in a multi-agent economy, the probl
em of determining efficient allocations can be characterized in terms of a
single value function (that of a social planner), rather than multiple func
tions (one for each investor), as has been proposed thus far (D. Duffie et
al., 1994, J. Math. Econ. 23, 133-146). We then show how the single value f
unction can be identified using the familiar technique of stochastic dynami
c programming. (C) 2000 Academic Press.