The objective of this paper is to illustrate the connection existing between the asymptotic value of a certain random series and the absence of asset pricing valuation bubbles in stochastic economies with sequential markets. This series, in turn, is closely related to the one proposed by Cass to...

This paper proves the C1,1 differentiability of the value function for continuous time concave dynamic optimization problems, under the assumption that the instantaneous utility is C1,1 and the initial segment of optimal solutions is interior. From this result, the Lipschitz dependence of...

We study a one-sector stochastic optimal growth model with a representative agent. Utility is logarithmic and the production function is of the Cobb-Douglas form with capital exponent <InlineEquation ID="Equ1"> <EquationSource Format="TEX">$\alpha $</EquationSource> </InlineEquation>. Production is affected by a multiplicative shock taking one of two values with positive...</equationsource></inlineequation>

In this paper we present new results on the local and global convergence property of solutions to an optimization model where the objective function is a discounted sum of stationary one-period utilities. The asymptotic local turnpike is given without differentiability assumptions but imposing...

This paper studies a deterministic one-sector growth model with a constant returns to scale production function and endogenous labor supply. It is shown that the distribution of capital among the agents has an effect on the level of per-capita output. There exists a continuum of stationary...

We extend the model from Tornell and Velasco [13] and Tornell and Lane [12] by adding three features: (i) extracting the common property asset involves a private appropriation cost, (ii) agents derive utility from wealth as well as from consumption, and (iii) agents can be heterogeneous. We show...

We discuss an analytically tractable discrete-time dynamic game in which a finite number of players extract a renewable resource. We characterize a symmetric Markov-perfect Nash equilibrium of this game and derive a necessary and sufficient condition under which the resource does not become...

A general model of non-cooperating agents exploiting a renewable resource is considered. Assuming that the resource is sufficiently productive we prove that there exists a continuum of Markov-perfect Nash equilibria (MPNE). Although these equilibria lead to over-exploitation one can approximate...