On Discounted Dynamic Programming with Unbounded Returns

In this paper, we apply the idea of $k$-local contraction of \cite{zec, zet} to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of a unique solution to the Bellman equation and are applied to the theory of stochastic optimal growth. Also a discussion of some subtle issues concerning k-local and global contractions is included.

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Year of publication:	2008-10-13
Authors:	Matkowski, Janusz ; Nowak, Andrzej S.
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Stochastic dynamic programming \| Bellman functional equation \| contraction mapping \| stochastic optimal growth

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	D90 - Intertemporal Choice and Growth. General ; D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005786929