Details about Juan Pablo Rincón-Zapatero

Access statistics for papers by Juan Pablo Rincón-Zapatero.

Last updated 2024-12-17. Update your information in the RePEc Author Service.

Short-id: pri108

Working Papers

2020

1. Housing prices and credit constraints in competitive search
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)
   See also Journal Article Housing Prices and Credit Constraints in Competitive Search, The Economic Journal, Royal Economic Society (2024) (2024)
2. Recursive Utility and Turnpike Theory for GMM Thompson Aggregators
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (1)

2018

3. Recursive Utility and Thompson Aggregators, I: Constructive Existence Theory for the Koopmans Equation
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (2)
4. Recursive Utility and Thompson Aggregators, II: Uniqueness of the Recursive Utility Representation
   CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington View citations (1)

2010

5. Differentiability of the value function in continuous-time economic models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

2008

6. Markov Perfect Nash Equilibrium in stochastic differential games as solution of a generalized Euler Equations System
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
7. On one-dimensional stochastic control problems: applications to investment models
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
8. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   See also Journal Article Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates, European Journal of Operational Research, Elsevier (2010) View citations (25) (2010)

2007

9. Differentiability of the Value Function without Interiority Assumptions
   Working Papers, University of Miami, Department of Economics View citations (2)
   Also in UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2007) View citations (6)
   See also Journal Article Differentiability of the value function without interiority assumptions, Journal of Economic Theory, Elsevier (2009) View citations (20) (2009)
10. Moving the Goalposts: Differentiability of the Value Function without Interiority Assumptions
    Working Papers, University of Miami, Department of Economics View citations (2)
11. On the impossibility of representing infinite utility streams
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (7)
    See also Journal Article On the impossibility of representing infinite utility streams, Economic Theory, Springer (2009) View citations (20) (2009)

2005

12. New approach to stochastic optimal control and applications to economics
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía View citations (1)

Journal Articles

2024

1. Existence and uniqueness of solutions to the Bellman equation in stochastic dynamic programming
   Theoretical Economics, 2024, 19, (3)
2. Housing Prices and Credit Constraints in Competitive Search
   The Economic Journal, 2024, 134, (657), 220-270
   Also in The Economic Journal, 2023, 134, (657), 220-270 (2023)
   See also Working Paper Housing prices and credit constraints in competitive search, UC3M Working papers. Economics (2020) View citations (1) (2020)

2021

3. Thompson aggregators, Scott continuous Koopmans operators, and Least Fixed Point theory
   Mathematical Social Sciences, 2021, 112, (C), 84-97 View citations (2)

2020

4. Differentiability of the value function and Euler equation in non-concave discrete-time stochastic dynamic programming
   Economic Theory Bulletin, 2020, 8, (1), 79-88

2019

5. Equilibrium strategies in a defined benefit pension plan game
   European Journal of Operational Research, 2019, 275, (1), 374-386 View citations (6)

2018

6. Envelope theorem in dynamic economic models with recursive utility
   Economics Letters, 2018, 163, (C), 10-12 View citations (1)
7. Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
   Insurance: Mathematics and Economics, 2018, 82, (C), 73-86 View citations (5)
8. Stochastic Differential Games for Which the Open-Loop Equilibrium is Subgame Perfect
   Dynamic Games and Applications, 2018, 8, (2), 379-400

2015

9. Euler–Lagrange equations of stochastic differential games: application to a game of a productive asset
   Economic Theory, 2015, 59, (1), 61-108 View citations (2)

2012

10. Stochastic pension funding when the benefit and the risky asset follow jump diffusion processes
    European Journal of Operational Research, 2012, 220, (2), 404-413 View citations (18)

2010

11. On a PDE Arising in One-Dimensional Stochastic Control Problems
    Journal of Optimization Theory and Applications, 2010, 147, (1), 1-26
12. Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
    European Journal of Operational Research, 2010, 201, (1), 211-221 View citations (25)
    See also Working Paper Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates, UC3M Working papers. Economics (2008) (2008)

2009

13. Corrigendum to "Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case" Econometrica, Vol. 71, No. 5 (September, 2003), 1519-1555
    Econometrica, 2009, 77, (1), 317-318 View citations (1)
14. Differentiability of the value function without interiority assumptions
    Journal of Economic Theory, 2009, 144, (5), 1948-1964 View citations (20)
    See also Working Paper Differentiability of the Value Function without Interiority Assumptions, Working Papers (2007) View citations (2) (2007)
15. On the impossibility of representing infinite utility streams
    Economic Theory, 2009, 40, (1), 47-56 View citations (20)
    See also Working Paper On the impossibility of representing infinite utility streams, UC3M Working papers. Economics (2007) View citations (7) (2007)

2008

16. Mean-variance portfolio and contribution selection in stochastic pension funding
    European Journal of Operational Research, 2008, 187, (1), 120-137 View citations (20)

2007

17. New Approach to Stochastic Optimal Control
    Journal of Optimization Theory and Applications, 2007, 135, (1), 163-177
18. Recursive utility with unbounded aggregators
    Economic Theory, 2007, 33, (2), 381-391 View citations (18)

2006

19. Optimal investment decisions with a liability: The case of defined benefit pension plans
    Insurance: Mathematics and Economics, 2006, 39, (1), 81-98 View citations (14)

2005

20. Efficient Markov perfect Nash equilibria: theory and application to dynamic fishery games
    Journal of Economic Dynamics and Control, 2005, 29, (6), 1073-1096 View citations (5)

2004

21. Characterization of Markovian equilibria in a class of differential games
    Journal of Economic Dynamics and Control, 2004, 28, (7), 1243-1266 View citations (8)
22. Optimal risk management in defined benefit stochastic pension funds
    Insurance: Mathematics and Economics, 2004, 34, (3), 489-503 View citations (28)

2003

23. Direct Method Comparing Efficient and Nonefficient Payoffs in Differential Games
    Journal of Optimization Theory and Applications, 2003, 119, (2), 395-405
24. Existence and Uniqueness of Solutions to the Bellman Equation in the Unbounded Case
    Econometrica, 2003, 71, (5), 1519-1555 View citations (36)

2001

25. Minimization of risks in pension funding by means of contributions and portfolio selection
    Insurance: Mathematics and Economics, 2001, 29, (1), 35-45 View citations (28)

2000

26. Identification of Efficient Subgame-Perfect Nash Equilibria in a Class of Differential Games1
    Journal of Optimization Theory and Applications, 2000, 104, (1), 235-242

1998

27. New Method to Characterize Subgame Perfect Nash Equilibria in Differential Games
    Journal of Optimization Theory and Applications, 1998, 96, (2), 377-395 View citations (10)