Stochastic Convexity in Dynamic Programming

This paper explores sufficient conditions for a continuous stationary Markov optimal policy and a concave value function in stochastic dynamic programming problems. Also, the paper addresses conditions needed for the differentiability of the value function. The paper uses conditions such as first order stochastic dominance, second order stochastic dominance and concave stochastic dominance that are widely applied in economics

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Year of publication:	2006
Authors:	Atakan, Alp
Publisher:	[S.l.] : SSRN
Subject:	Dynamische Optimierung \| Dynamic programming \| Theorie \| Theory \| Stochastischer Prozess \| Stochastic process \| Markov-Kette \| Markov chain
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economic Theory, Vol. 22, No. 2, pp. 447-455, 2003 Volltext nicht verfügbar
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; O41 - One, Two, and Multisector Growth Models ; D80 - Information and Uncertainty. General ; D90 - Intertemporal Choice and Growth. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014055370