Discounting long run average growth in stochastic dynamic programs

Jorge Durán

Economic Theory, 2003, vol. 22, issue 2, 395-413

Abstract: Finding solutions to the Bellman equation often relies on restrictive boundedness assumptions. In this paper we develop a method of proof that allows to dispense with the assumption that returns are bounded from above. In applications our assumptions only imply that long run average (expected) growth is sufficiently discounted, in sharp contrast with classical assumptions either absolutely bounding growth or bounding each period (instead of long run) maximum (instead of average) growth. We discuss our work in relation to the literature and provide several examples. Copyright Springer-Verlag Berlin Heidelberg 2003

Keywords: Keywords and Phrases:Dynamic programming; Weighted norms; Contraction mappings; Dominated convergence; Non additive recursive functions.; JEL Classification Numbers:C61. (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (9)

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Related works:
Working Paper: DISCOUNTING LONG RUN AVERAGE GROWTH IN STOCHASTIC DYNAMIC PROGRAMS (2002)
Working Paper: Discounting long run average growth in stochastic dynamic programs (2001)
Working Paper: Discounting Long Run Average Growth in Stochastic Dynamic Programs (2000)
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DOI: 10.1007/s00199-002-0316-5

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