Consider a one-period economy and an individual with a time-additive but state-dependent expected utility so that the objective is max

θ u(c0, X0) + e

−δ E[u

(c, X)].

The decisions of the individual do not affect X0 or X. For example, X0 and X could be the aggregate consumption in the economy at time 0 and time 1, respectively, which are not significantly affected by the consumption of a small individual. What is the link between prices and marginal utility in this case? What if u

(c, X) = 1 1−γ (c − X)1−γ ? What if u

(c, X) = 1 1−γ (c/X)1−γ ?