This paper is concerned with the linear programming solutions to sequential decision (or control) problems in which the stochastic element is Markovian and in which the objective is to minimize the discounted sum of expected costs when a discount factor \lambda, 0 \leqq \lambda < 1, is used. In praticular, it deals with a class of "separable" problems for which it is possible to define a "reduced" linear programming problem which will yield the optimal policy and the shadow prices for this problem. The reduced problem involves a substantially smaller number (e.g., 3N vs. N²) of variables...</1,>

In the empirical analysis of financial time series, multivariate GARCH models have been used in various forms. In most cases it is not well understood how the use of a restricted model has to be paid with loss of valuable information. We investigate the structural implications of two alternative...

When the production of high quality needs the employment of qualified labour, firms' decisions concerning quality are affected by the extent to which skills are abundant. By means of a comparison between monopoly and perfect competition, we show how market power in such a context may entail a...

This paper studies the incidence of tax-transfer policy in a growth model wherein individuals differ according to their level of intergenerational altruism and have an endogenous labor supply. The main results is that public debt is neutral at the macro level but redistributes resources from...